I currently have a
Arduino Mega , Im looking to get a
Raspberry Pi.
You can get both at Adafruit where its fairly priced. That site also has pretty much anything you need for electronics.
Arduino ranges from $30 to $65 (Cheaper on ebay $15 - $25)
Raspberry Pi is $39 on Adafruit (only place I found that had them in stock)
I found the Arduino gives you more flexibility if you want to do alot with I/O such as LED's and servos. Who ever has the Pi, add on to discuss the pro's/con's of it as well.
Arduino gives you PLENTY of I/O ports white the Pi you need to get a ribbon wire to use I/O and does not have as many ports.
I also recommend getting the Ethernet shield for the Arduino if you want to do some internet interfaces, as well as the LCD screen for Arduino.
Links: