I mentioned the AR Drone a few weeks back but it's not the only game in town. At the other i.e. the inexpensive end of the cost spectrum is the home-brewed Vicacopter which frankly looks very Heath Robinson with lots of wires! This requires some hardware skills including woodworking and access to places that sell the motors, propellers etc as well but the price is only around the $100 mark.
The autopilot and control software is open source written in C and of course you can hack it to do what you want. There is a page of videos so you can see what success people have had. Trying to hover in one place for instance is an interesting problem that can be solved by accelerometers, gps etc. So if you're into creating flying computer controlled devices, take a look at the Vicacopter.
- Link to C Code Library