The cheapest servos to buy are the ones used for remote control cars, boats and planes - "RC servos".
They are a very nice package as you get a servo motor, gearbox, position sensor (usually a potentiometer) and control unit in one package. A 3 wire interface is standard - Power supply (6-12 volt typical), Common and control input. The control input receives a pulse each 20 msec from whatever controller is used and the width of the pulse determines what angle the servo shaft output moves to. Typically the pulse length is 1-2 msec long.
RC servos are designed for controlling the angle of parts and so the output of the servo typically moves 0-90 degrees. They are rated based on the speed they can move (0.15 msec per 60 deg is fast and 0.5 sec per 60 deg is slow) and the output torque (5 N cm is small and 40 N cm is big).
A great site to read up on RC servos is
http://www.horrorseek.com/home/halloween/wolfstone/Motors/svoint_RCServos.htmlThere are two types Analogue and Digital but the interface is the same. The difference is the internal switching frequency for the motor. For analogue it is typically 50 Hz and for digital 300 Hz so digital is more responsive. Digital servos are typically 2 x the price of similar rated analogue ones. As you move to larger digital servos the interface changes to various proprietary digital buses.
Tuppet purchased a few servos today from Little Bird Electronics in Sydney and paid about $15 each for them.
http://www.littlebirdelectronics.com/Most control boards for RC servos are not so suited for lighting applications but many are available for animatronics applications.
Suppliers of DMX RC controller cards include:
http://lasershowparts.com/store/index.php?_a=viewCat&catId=35 Single Channel $70
http://northlightdmx.com/DMX512toRCservo.htm 8 Channel $49
For those that want to make their own board and examples is here
http://www.hoelscher-hi.de/hendrik/english/servo.htm