When I was a child, my mom always had our flowerbeds full of marigolds. I always figured they were one of her favorite flowers (which I didn't totally understand because they didn't smell particularly nice) and that's why we always had them. Little did I know of my mom's real reason behind planting these: she could have a bed full of them for next to nothing. Twenty-odd years ago when my brothers and I were little, things were really tight financially in our family (my brothers and I were totally oblivious to this fact, however - we never felt deprived) and my parents did all sorts of things to cut costs and went without a lot of the time.
Despite this, my mom was determined to have flowers in her yard. She saved up some money and bought marigold plants. During the summer and fall, she would regularly deadhead her marigolds and keep the spent blooms. The deadheads would eventually dry out, allowing her to open them and gather the seeds. The following spring, she had tons of marigold seeds to scatter in her flowerbeds. Weeks later, the front of our house would be blooming with red, orange, and yellow marigolds. Even in a time of scarcity for my family, my mom found a simple way to create abundance. To this day, even though those days of black-belt frugality have passed, my mom collects the spent blooms of many of her annuals and saves them for the spring.
Yesterday, my mom and I headed to a gorgeous garden - the kind people pay admission to enter. She also happens to work there. As a result, we got special permission to go through the gardens and deadhead spent zinnias (since they were just going to throw them out when they were pulled in a week or so). We walked through the gardens, scissors and plastic bags in hand, snipping the browning flowers, imagining how beautiful these flowers will look in our yards.
Now you don't have to have special connections to do something like this. You can do it in your own garden's flowerbeds. Or, you could go to a local business area and ask for permission. Or maybe just at a public park (Is anyone going to be mad at you deadheading a couple flowers at a public park? I can't imagine so. Someone correct me if I'm wrong.). If annuals aren't deadheaded, they'll fall to the ground and sometimes reseed. I figure by saving the seeds and doing it yourself, you have a better chance of getting blooms in the spring. And you save yourself some money by skipping the seed packets. This method works for lots of annual flowers - I've only done it with marigolds, zinnias, and hollyhocks, but there are many others I want to try.
Once you've got your deadheaded blooms, let them dry out. You don't have to do anything complicated - just find a place to lay them flat, then let the air do its work. For further reading and information, here's a link I found (I know it's geared toward teaching this to kids, but it works. I like keeping things as simple as possible.).
Once they're dried out, open the blooms and you'll see the seeds. I've pointed out, as you can see through my amazing Photoshop technique, where the seeds are located (the uppermost arrow) and what the seeds look like (rest of the arrows). Store the seeds until the spring in a dry place - I like to keep mine in Mason jars or paper lunch sacks. After all danger of frost is past, plant the seeds under a little bit of dirt and water thoroughly for the next few weeks. Sure enough, your thrifty efforts will bloom beautifully.
"I have great faith in a seed. Convince me that you have a seed there, and I am prepared to expect wonders." -Henry David Thoreau