How can I set up a virtual machine on my MacBook Pro? Ideally, I'm looking for free or low-cost solutions...  I'd like to test out a variety of operating systems (windows, linux, mac os, etc).

Any help is appreciated!
You could try VirtualBox.

From its webpage : 

VirtualBox is a powerful x86 and AMD64/Intel64 virtualization product for enterprise as well as home use. Not only is VirtualBox an extremely feature rich, high performance product for enterprise customers, it is also the only professional solution that is freely available as Open Source Software under the terms of the GNU General Public License (GPL).

Presently, VirtualBox runs on Windows, Linux, Macintosh and OpenSolaris hosts and supports a large number of guest operating systems including but not limited to Windows (NT 4.0, 2000, XP, Server 2003, Vista, Windows 7), DOS/Windows 3.x, Linux (2.4 and 2.6), Solaris and OpenSolaris, and OpenBSD.

VirtualBox is being actively developed with frequent releases and has an ever growing list of features, supported guest operating systems and platforms it runs on. VirtualBox is a community effort backed by a dedicated company: everyone is encouraged to contribute while Sun ensures the product always meets professional quality criteria.

I'm using it since I realise I didn't have to pay for having a good virtualization software on Mac OS X.

I can tell you it works really well, it's easy to setup and very stable.