It is expensive, but mostly upfront costs of getting your license and all the gear. I have all my own gear already, except for the actual rig (which includes main parachute and reserve). That will be another hefty cost. Once you're licensed though, jumps are only $20-25 each, depending on if you're doing a hop & pop or going to full altitude. Still pricey when you do several jumps in a day, but so worth it. I don't think I've ever had an cheap hobby....it's always been cars and now skydiving.
