The lamps last for 1000 hours or more. They cost between $100-$300. We have a projector at work that is on all day for an average of 4 days per week and we are seeing about 24 months of use on the lamp.
One of the major things to consider in purchasing a projector is brightness. In a dark room, you will want to have at least 650 lumens of brightness. However, you never run the projector at maximum brightness because you loose all the contrast. So if you can get an 800-1000 lumen projector, you can run it at 50% brightness, have great contrast, and still see the picture in a dimly lit room. Unless you get a 2500-3000 lumen projector (very expensive) you will never be able to view your image in full daylight (like you can with a TV). So make sure your theater is in a room that can be darkened.
The other thing to consider is connectability. I would consider S-video for minimum acceptable quality. You will need a receiver with s-video switching and all your components will need to have s-video output. The ideal setup is if your receiver and projector have component video connectors (I think that is what it's called. It's the one with either 3 or 4 connectors.) That will give you the best picture quality and will give you the best chance of being HDTV compliant in the future.
The last thing I will mention is to plan your room carefully. Try to avoid a long cable run from the receiver to your projector. It's expensive, and unless you get premium cable, you will suffer in signal quality.
