We created a sensory room for my sensory-seeking kids this past Christmas.
We have a cocoon swing and a platform swing from here:
http://www.affordabletherapysolutions.com/
We got a hanging swing (which we're going to replace with something else since they don't use it), hand rings, a balancing rocker, and a rope ladder from Ikea.
We have a big, heavy yoga ball, small sensory (spiky) balls, squeeze balls that are used for hand strengthening, knock-off body sox (cheap at Oriental Trading Co. - they call them "shape changers"), a small trampoline, chewy tubes, fidgets, beanbags (Oriental Trading Co.), and a couple of beanbag chairs.
There's a full-size mattress, a crib mattress, a gymnastics mat, pillows, and some foam mats on the floor.
We're thinking about adding some rock wall stuff to the wall, and maybe getting a hammock swing or a punching bag, as well as some chin-up bars or something.
Oriental Trading Company has a lot of inexpensive things that can be used for a sensory room. Ikea is also inexpensive. And Affordable Therapy Solutions has good products for less money than I've seen elsewhere, plus their customer service is awesome! I was able to find other things for little money at toy stores in my area.
Hope that helps!