Neurosky MindFlex – This falls in the category of toy based EEGs. It is frequently used with Arduino projects due to it’s price point ($40 – $80) and extensive support in the forms of an Arduino Brain Library and Processing Brain Grapher. The setup is easy just link the the tx/rx and include the brain library for Arduino. The MindFlex uses four electrodes.
OpenBCI – Research grade EEG put together by an ad-hoc community. OpenBCI is a powerful Arduino compatible open source hardware design. Prices range from $350 – $1,100 depending on how much you can print and assemble yourself. The current OpenBCI headset uses 10 gold electrodes.
There is some potential for the Muse and Emotiv brands of EEG headbands to be used for DIY brain control interfaces. These headbands are in the $250 – $800 range. Muse has some (1) (2) github Arduino oriented projects. There is an unmaintained python library for Emotiv that was reverse engineered to work with a Raspberry Pi or BeagleBone Black.