I have used and setup TeamCity and Jenkins (aka the new Hudson) before and while I would agree that TeamCity is a lot slicker to set up it is only free for teams of 10 users or less. Both systems are very easy to set up and have a plugin system that is well supported. The killer feature in TeamCity is the pre-checkin workflow where you can test code before checking it into source control and the nicety of Jenkins is that it is completely free even if you grow beyond the 10 users and build agents.
