After experimenting with the stupid simple propane burner (see below) for a few weekends, today I threw together a Reil EZ burner with John Wasser's modification (unfortunately no longer available online) just like Todd's.
The Reil requires less hardware. It's smaller and lighter. It's simpler. And it worked the first time out of the gate. The only drawback is that you have to be able to drill a small hole. That's not really such a big deal. Coupled with the high pressure regulator, ball valve, hose, and other plumbing that I already had, this burner cost me $16 to build. With a little scrounging it could be nearly free.
There may be better burners than the Reil. For one thing I haven't welded with it yet, and I don't know how easy or hard that'll be. But for general forging, as long as you have some means of drilling a very small (#57ish) hole, it's very simple and very effective. I recommend it highly.
Something to think about...
...the dignity and importance of the smith's art is at once apparent. While others besides him use hammers, it is to the smith that they all must go for their hammers.