There is a ton of information circulating around the web about off-camera flash; techniques, do's and dont's, and gear. I am going to keep this gear-centric and talk about the various pieces that I have been using for the last few years.
Below is a pulled back, behind the scenes, photo of my off camera flash setup. This is a relatively bright scene and the flash was being used to accentuate the smoke coming from Chris' pipe, and add some light to his face.
Click here to see a list of the gear pictured above (assuming you have a flash). All items are individually linked below, totaling right around $100 on Amazon.
To break that all down: you need a triggering system (I use Cowboy Studio), a light stand (most of the time), an umbrella holder (if you want to use an umbrella) and an umbrella (if you want).
Again, this is simply my setup and so I am showing you what I use and what has worked for me. You could certainly start out with only the triggers and simply set the flash on top of a trash can, have a friend or assistant hold it or even hand-hold the flash up above your head. Instead of an umbrella, you could use a soft box or a grid. There are lots of modifier options that I won't get into here.
Since I purchased these items in 2011, they have simply worked without fail. So I would argue "inexpensive" and not "cheap." But do you know how many times the wind has blown over an over-confident light stand? Too many to count, and that has been with or without sand bags and assistants holding the stand. One of my original triggers has a broken foot after toppling over, so it can now only be mounted via the threaded socket instead of a cold shoe, but it still works.
Now I am fully aware of the existence of premium flash triggering systems and have spent my fair share of time drooling over the latest offerings from Pocket Wizard and the like. Don't get me wrong, those higher-end systems have their functionality benefits that I would love to have. But simply put, I don't NEED those bells and whistles to do what I need to do with this gear; and that is to light my subject in a portrait or event setting.
So, when the wind gusts and my light stand goes tumbling to the ground, which it inevitably will, I would much rather have this inexpensive gear exploding into a million tiny pieces than something I paid big bucks for.
Off camera lighting can add visual interest to your photos, and can be essential to capturing the moment. Making the leap to off camera flash will put you more in-tune with your camera and flash settings, help you learn how to use light, and ultimately make for more interesting images than you would be able to achieve using the flash in the hot shoe of your camera, going either direct or bounce flash.
For head shots, band promo portraits and sunset portrait sessions, having a basic setup like this is incredibly useful. I use this setup routinely during wedding receptions and it has been great. This particular setup can easily collapse down and fit in a standard tripod bag.
This setup is completely expandable and you can add more flashes and simply purchase additional Cowboystudio NPT-04 4 Channel Wireless Hot Shoe Flash Receiver units. Or, if your flash can be triggered in slave mode, you don't necessarily need additional receiving units. That being said, using the triggers is much more reliable than slave mode, in my experience, in a wide variety of shooting environments.
Although my buddy Mark Nessia first introduced me to off camera lighting, what really made it click for me was discovering Zack Arias' work and eventually picking up his book, OneLight Field Guide. This book is a must-buy and I routinely go back and thumb through it when I need a refresher on lighting designs, etc. It's an incredible resource to have, in fact, it's the only instructional photography book I own. Just buy it.
Also, one cannot talk about off camera flash and not mention Dave Hobby, and his Strobist blog. Go get lost in his vast knowledge for a while and you will be glad you did.
There are many ways to do nearly every task in photography from cameras to post-processing techniques, and use of off camera flash also has this in common. So how do you use your flash? Please feel free to share your experiences in the comments below.