The Impex Olympic 300lb Weight Set from Sears.com is the cheapest you'll find for an olympic weight set and bar. You can get the weight set for $199 at Sears, and if you pick it up at Sears you won't have to pay anything for shipping. The weights have handles, which make them really nice. The olympic bar is only 35lbs, and has a narrow bar grip, so it's not as good as a regular 45lb olympic bar, but will suffice.
300lb Cast Iron Olympic Weight Set. Set includes: (2) each 2.5lb, 5lb, 25lb, 35lb and 45lb plates, (4) 10lb plates, (2) spring clip collars and (1) 7ft. Olympic Bar.
You can also get Olympic weight sets at really low prices at Walmart.com
See Impex Olympic 300lb Weight Set at Sears.com