The most expensive play is the punter play which you have experienced.
The punter is the bread and butter of sites - it is the punter that pays for the site rental, insurance, equipment, wages etc.
Next is the walkon - you pay a entry fee, and get cheaper paint or may be able to bring your own. Most walkons are seperate from punters and may be once a month, but sometimes walkon players can play among the punters.
Also there are events where you pay probably a bigger entry fee, may include a case of paint in the fee, get paint even cheaper or bring your own. These are usually once or twice a year at certain sites.
With a basic starter kit you may have a CO2 bottle. Check what sites are around you and whether they supply air or CO2, most will now run air unless they are purely a punter site. Most sites you go to will be willing to lend you an air bottle for the day if you need it, but a good start will be your own air bottle if you don't yet have one. This can vary from £50 for a 3000psi steel bottle to £150 for a 4500 fibre bottle.
If you look at the prices of paint online don't forget to add on postage plus there can be a quality degradation by the time it gets to you and you get to a site, so it may be best to stick with buying on the day of play, but playing at cheaper rates.
Where are you & what style of paintball do you think you are interested in?