Definitely less expensive than GW. I haven't played 40K since the Rogue Trader days. When I looked into get back into sci-fi mini games, I freaked when I saw what a decent Space Marine army would cost me.
BT, comparatively, is way cheaper. If you choose a faction, and but the following:
1 Command Lance
1 Fire Lance
1 Recon Lance
1 Pursuit Lance
1 Assault Lance
1 vehicle company
6 squads BA
Bam! Still less. :)
and more fun.