The single cheapest way to build or build up a good jazz library is to join eMusic. They offer a subscription service, with so many downloads per month. The cheapest deal is about 30 downloads a month for about $10. Any interested reader need only send me an e-mail at firstname.lastname@example.org, and I will get you started.
The e-music catalog is simply marvelous. It includes large chunks of the celebrated jazz masters like Miles Davis, John Coltrane, Bill Evans, and just about everyone else. You can also get some of the great boxed sets and, best of all, you can pick and chose which numbers to download. Their catalog is nowhere near complete, but if you got all your jazz from this one source you could still put together a very respectable collection.
For a good example, while I was strolling through the Penguin Guide to Jazz Recordings this evening, I chanced upon the entry for Booker Ervin (1930-70). Ervin was a trombone player who taught himself to play the tenor sax. EMusic had a good set of his recordings, including a 1961 album That's It! I listened to a few samples, and then downloaded it.
Ervin's tenor sounds more like Coltrane than anyone else except Coltrane. The hard-driving Texas sound behind him, blusey and muscular, is foot stompin' good from start to finish. His tenor is compelling.
Here is a sample from That's It!
BookerErvin/That's It!/Speak Low/1961Speak Low is one of my favorite standards. I first heard it on a Bill Evans album. Enjoy.