You might check out Proto Labs, still probably not real cheap, but it's easy to upload a solid model on their website and they make the parts in a few days. They've also got some 3D metal printing capabilities.
I ran into Hoosier Pattern at the SEMA show. They can 3D print a sand core and cast complicated parts for relatively low cost as well (although they have a minimum order). It looks really cool, they had nice samples at the show.
For sheet metal parts, you might look at Rapid Made. They also have some other services.
We have no affiliation with any of these companies, just places I've come across. Machining small prototype runs is difficult, but there is some industry growing around this.
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