+1 to ETFs. I think you can open an account with Vanguard for as little as $1,000, and ETFs generally cost under $100. Minimum purchase would be 1 share of between $40-$100 depending on asset type, and Vanguard doesn't charge a commission to buy its own ETFs. No annual fees if you enroll in paperless everything.
If you can't afford $1000 to open a Vanguard account, I think Scottrade's minimum is $500 and there may be places with lower minimums, but you'll pay for it in commissions, fees, or sub-par investment opportunities with load/expense ratios. If you don't have $1,000 I'd say stay away from the market and challenge yourself to put $50-100 into a Cap360 or similar savings accounts until you get to $1,000.