The current and previous generation Intel CPUs (Haswell and Ivy Bridge, respectively) have on-die GPUs which support OpenCL: http://software.intel.com/en-us/articles/intel-sdk-for-openc...
AMD's APUs are quite cheap (~$100) CPU+GPU designs similar to those in the upcoming PS4 and XBox One (though the retail APUs are somewhat less powerful). They've been more-or-less designed specifically around the needs of a heterogenous OpenCL application.
Finally, the last several generations of NVidia cards all support both CUDA and OpenCL; the newer cards do support additional features though. You should be able to pick up a low-end, recent-edition Nvidia GPU for roughly $100.
The new g2.2xlarge instances are $0.650/hour, and the existing cg1.4xlarge are $2.100/hour; so it may make sense to experiment on AWS a bit, then buy your own card for long-term use if you decide to spend more time doing GPU programming.
