I have not made one, but have obsessively watched youtube videos about how to do it.
I think if you were a do-it-yourself kind of person who was willing to source things through Freecycle and Craigslist, you could do it for fairly cheap. Maybe not $20 cheap, but cheaper than a couple of hundred dollars.
The thing I notice about myself is if I want a thing like this (which I do, but not enough to pay $$ for it) I want it RIGHT NOW! That could lead to running out to the home supply store and laying down a bunch of cash.
If you wanted a cob oven, make a list of what you need and see if you can find those things for free/ridiculously cheap. Once you have it all together, start building.
Post on Freecycle/Craigslist that you are willing to come haul away people's old bricks or rocks, that you need X number of glass bottles and will haul away. People are often willing to give you things if you will do them the favor of carrying it out of their lives.
If you do it, post pictures of the project, cob fascinates me!