Actually, it doesnt void the warranty. I had MMNA review my car for the tranny replacement on the Evo VIII, and I had a boost controller clearly displayed, (my avc-r), and they didnt void the warranty. The deal is, they have to prove that the boost controller caused the issues. Not to mention I also had a custom exhaust, K&N air filter, upgraded fuel rail, etc. They asked about all the components, and I was honest with them. I even went over what I had the boost set too, and why.
The cost depends on what you get. A manual boost controller runs anywhere from $50->$150 (american), and the EBC usually go anywhere from $200->$600 (american). Installation of the manual boost controllers is very simple, so you could do it yourself. The EBC's however require some wire tapping into the ECU, and several cables that need to be run through the firewall. I did all this myself and it took about 4 hours to complete on the VIII, but I soldered all the connections to the ECU. Ooo, I just remembered the ECU is in the engine bay. This would make things quite a bit easier actually. The cost will vary depending on shop installation time.
Hope this helps!