You should definitely buy the recharging kit for the Xbox 360. You can either get a stand alone charger or a plug and play charger. My husband and I have both, but prefer the stand alone. We don't like being wired to the box.

You can buy the rechargeable battery pack for $6-$48 dollars and the plug and play and charge ranges from 14.96-33.99.

If you buy the stand alone charger make sure you buy an extra battery pack, since you can't play while it's charging. My family does this, and we always have an extra battery ready for use.

If you go for any of these, you may be spending some money upfront, but you'll never have to buy batteries for your controller again! We still have all the same batteriy packs and we've been using them for at least 2 years if not longer.

you can buy AA batteries and spend and spend and spend ...... or you can buy 

Microsoft Xbox 360 Wireless Controller with rechargeable battery for 29.99$ with free shipping

http://www.newegg.com

We hear your pain!
So here are a few things we do. We buy batteries in bulk at Sam's. Sam's just came out with a generic brand of battery so they are a wee cheaper. It is the Member's mark brand.
Second, we do look for coupons online and in the paper for the Energizer Lithium. They last a little longer in the controllers.
And last but not least, rechargable batteries. Any brand will do. They are quite expensive so search for coupons first!