Yes it's quite a pain to get it all set up. But man it was great back then. Never did get the throttle and pedals for it.
HOTAS is still pretty expensive, no? Haven't looked in a while.
HOTAS setups often fetch a pretty penny, yeah.
Used Saitek X-45 and X-52 setups can be had for about $60-120 on eBay these days. Decent way to get started, and you don't need rudder pedals for yaw control, but Saitek's SST software really feels crippled compared to what TM and CH software can do (based on the same Bob Church's work, incidentally enough).
CH Products setups (usually the Fighterstick/Pro Throttle/Pro Pedals combo) may sell for $165 shipped or even $120 shipped, which is a really good deal if you find a whole FS/PT/PP setup at that price range, but new pricing for each component is generally around $100-120 by itself. That adds up quickly.
Thrustmaster stuff is even more expensive than it used to be; the days of $100-250 stock HOTAS Cougars may be over already in the wake of their discontinuation and the release of Falcon BMS 4.32, and only rarely does the HOTAS Warthog drop to $350 new.