I've never had one, but I put them in for a living (amongst other activities). We would never refuse someone an epidural for cost reasons. Never. I actually have no idea how much an epidural costs, but none of the kit or drugs is that expensive, so it wouldn't be a great economy anyway.
IME the main reasons for a woman who asks for an epidural not getting one are 1) The anaesthetist is busy elsewhere - though in most hospitals they will try to find a spare one, it's not always possible; 2) It's not medically appropriate, either because she's too far on in labour or there is another contraindication like problems with blood clotting; or 3) The midwife never actually asks the anaesthetist! Some midwives don't like epidurals for a variety of reasons, or think that their patient is progressing well enough to manage without one, so they just don't call us.
Overall, they usually provide good or excellent pain relief, but they're not without complications. They can be difficult to site, especially in larger ladies, and while you do get better with experience, some patients are still difficult, often through no fault of their own, just anatomy! Patients having an epidural are more likely to need an instrumental (forceps/ventouse) delivery, though the C-section rate is unaffected. Whether this is due to the epidural itself or because women having difficult labours with babies in awkward positions are more likely to ask for an epidural is not clear. There is about a 1:100 risk of a severe headache afterwards, if they accidentally puncture the membrane around the spinal cord. There are rarer, but serious risks, or nerve damage or even paralysis, either from the needle itself or if there is bleeding or infection at the site afterwards - hence why it has to be inserted in a sterile way, and you can't go in the pool with one etc. These are exceedingly rare though.
If the OP (or anyone else) wants more information on pain relief options in labour, the Obstetric Anaesthetists' Association has put together some good guidelines: www.labourpains.com/ui/content/content.aspx?id=45 Would I have one? I think, like most people, I'd like to try without at first and see how I get on, but if I'm struggling, then absolutely I would.