It doesn't have to be very expensive. My entire CD collection sits on an ancient Pentium III 500 PC, running Ubuntu. The music is mostly FLAC-encoded.
The PC wouldn't be much use for anything else, but it manages to run Squeezecenter, which facilitates a Squeezebox and Twonkymedia which supplies a Reciva internet radio device. It can easily serve up music to both simultaneously.
The Squeezebox is about £180 these days and the non-display model is about £100. If you already have a decent amp and speakers, that's all you need. 'Course, it takes quite a while to FLAC all your CDs, but it's not an entirely unpleasant process.