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I bought an analog-to-VGA box a while ago, wonderful little devices although you're in for a little shock if you're expecting the same type of graphics that you get off PC games running at higher resolution.
AFAIK prices ranged from £20 for those little Redant/XRGB-2. boxes through to £100 to £200 for more sophisticated hardware with support for higher resolutions, there is professional grade gear out there too if that's your bag. The cheaper end of the market seems to be the one that's most heavily featured in the SERPs.
If you want to go down the "separate device" route my advice is;
If you want to get one I suggest doing a lot of research on possible purchases so that you know what exactly you're getting and what existing users think of it - cheaper doesn't always mean the best.
Also worth noting that it's worth investing in some good cables to go between the PS2 and the VGA box because a lot of the time the standard cables are going to lose some image quality.
- Tony