Here are some ideas on inexpensive items you can use to make your own weights for your workouts.
1) Tennis Balls
Cut a small slit in one side of the tennis ball and fill the ball with pennies. Once the ball is full seal the slit with Super Glue, or some other reliable sealant. You now have a light dumbbell.
2) Tennis Ball Can
Remove that balls from the can, fill the can with sand and replace the lid. It's a good idea to wrap the can with athletic or electrical tape. This will prevent the lid from working itself off, and will prevent spills in case the can cracks. You can also use a Racquetball can. This gives the "next size up" dumbbell.
3) Milk Jugs & Paint Cans
Fill the empty milk jug or paint can with sand and replace the lid. You should use some type of sealant to help prevent the lid from working itself off. These are your heavy dumbbells.
4) Playground Balls
You can find these balls in the toy section of most larger stores like Wal-Mart. You can also use the type of balls used on the playgrounds for kickball. Pop the plug on the ball and let all the air out. Now fill the ball with water. This can be a little time consuming, you can either hold the ball under the faucet or submerse it in the bath tub. Make sure to use cold water, if hot water is used the ball will expande while filling, but when the water cools it will not return to its original size and you will have air pockets in the ball. Once full of water replace the plug. You now have created your own medicine ball. For a heavier medicine ball simply choose the "oversized" balls found in toy stores and toy sections of department stores.
It is possible to have a very usable set of weights without having to spend a lot of money in the process.