You can dye any roving or yarn you want, whether or not it's handspun.
There's a thread with some great dying websites sticked here, but these two sites helped me the most:
Wilton's Dying Tutorial
How to Paint Roving/Yarn
I know a lot of people recommend Deb Menz's "Color in Spinning" if you want to look at color theory, particularly if you're going to spin your own yarn.
It can be really cheap if you use dyes like Wilton's Icing or Kool-aid. Even acid dyes like Jacquard's aren't very expensive. Usually, all you need is some dye, water, and vinegar.
Hope that helps!