Yes, there are various concerns on the net that broadcast net events (such as broadcast.com). It just depends on how involved you wish to get. The bigger ones will want to start at a high 5 figures and work up.
It really isn't all that involved. You can get streaming software from Microsoft (netshow net server) or from RealAudio. There are many minor players too like Vivo.
The real trouble isn't the software, it will be having a server to deal with the traffic load. Nothing beats a server up faster than streaming video. The bandwidth it takes can be a real shock. Not uncommon for even small sites to chew through 4-10 gig a day without blinking.
It also depends on how high of bandwidth you are going to provide. The higher bandwidth video that is designed for cable and dsl is - well, a pig. If you design for 56k, at 4k per second that is 240k per minute per user. If you have a few thousand visitors sticking around for 15-30mins each, it really can add up.