ANR headsets are pretty cheap. It's only when you throw the word "aviation" into the mix that the prices become astronomical. The truth is that products are set at a price the market will bear, and most pilots are willing to overpay. However, some of them are cheap bastards and take a different approach and just build their own ANR headset.
Some people buy the "aviation" ANR kit and spend one to two hundred and then solder them into a passive set.
Some people buy a cheap ANR headset or earbuds
(like this one) http://www.amazon.com/Philips-110-Folding-Noise-Canceling-Headphones/dp/B00085ESA0 and then graft a microphone onto it from an old aviation headset. Or, you can use any old microphone if you supply a circuit to match the impedance. Search for DIY ANR AVIATION HEADSET to find various examples.
Some people build their own. The theory is pretty straightforward, and the heart of the ciruit is just a few operational amplifiers that cancel the noise by amplifying an inverted signal.
http://gilmore2.chem.northwestern.edu/projects/noise_prj.htm


