Chess does not have to be expensive. Engines like crafty or any other winboard based engines can play just as well, if not better than a strong grandmaster and the strength of play can be adjusted. You can also play free online with several winboard compatible interfaces including: Babaschess, Arena, Thief, Jinchess, Chess Client, iNemisis,Electra, or even play without downloading anything with Java Board. Chess21 offers free download called Sherlock that also comes with crafty and can analyze pgn files. With any of the listed clients you can connect to FICS, a non profit online chess site that records stats, gives you a rating and a ranking, and hosts online tournaments. ICC also has has Flash chess lectures by titled players available to anyone.
PGN files are chess games saved through standard notation. Engines like winboard can open these types of files and use crafty to analyze games. They can be auto saved every game you play on several of the best online chess sites though many aren't free.
Here are a few zipped PGN files you can play with:
Fischer's 60 memorable games
Funny Quick Wins
Games 10 moves or less
Opening Traps
The above were grabbed from the University of Pittsburgh online chess library. Go there for more files.