That depends on the type of forum you want to set up.
Some software you have to pay for, such as vBulletin (which we're using here). Others are free, such as phpBB.
You'll need hosting, so there's a monthly or yearly charge for that.
Then there's advertising, you can either post links to your forums in a whole lot of places, get people talking about it, or pay for advertising (such as AdWords).
So... it could either be cheap, or cost you a few bucks. It all depends on what you're looking to do!
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