Brainwave entrainment CDs and MP3s are the best way to go at first. They do most of the work for you and you will get results faster. There are two types. Binaural beats require headphones and isochronic beats do not. It is best to use headphones either way.

Amazon.com can let you download some for under $10 each. Many of the MP3 downloads go for 99 cents and work really well. Try "theta binaural" or "delta binaural".