I'm also on the quest for cheap EEG for use in lucid dreaming applications.
I'm playing with the Neurosky mindwave and I'm not all that impressed either. I can't even really see a difference between when I focus or relax, the response seems random and if I clip earpiece to one finger and put another finger against the head sensor the results are pretty much the same as if I wear it on my head which makes me a bit dubious of their tech.
I'm looking at the Emotiv now, and you say you've been working with it with some success, is it worth the money? Are you getting verifiable results that are not just randomly generated to appear you are doing something?
I would think with the number of sensors on their headset it would be significantly better than Neurosky's single sensor if it actually works as they say. I'm puzzled that Neurosky doesn't just make a "stereo" head set with right and left sensor pairs to improve the quality of the collected data.