There's no set or ballpark "cost." All setups are different, all scenarios vary. You'll have purchase price of CP (construction permit) or existing license, music licensing to at least BMI, ASCAP, SESAC, Yearly regulatory fees, Tower rent from "the biggies" is not only high, but they are ruthless on enforcing high-dollar insurance liability policies. Privately owned towers are a better bet, but YOU'LL be responsible for a structural analysis study to make sure your antennas don't cause overload of the tower. Other than that, you've got commercial insurance including libel/slander (if you have a good carrier)...and the usual electric bills, rent, internet, and phone.
On the equipment side, bare minimum, a good quality audio mixer board with program and audition channels, software and PC to automate, software and PC to record callers and do production of commercials, audio processing for your tailored "sound" and of course the transmitter, transmission lines, and antenna system. All of this is assuming it's an FM you're setting up. Oh, don't forget the software for scheduling commercials, (known as "traffic") and a music scheduling software system, too. The Government mandates you have an EAS system for emergency preparedness, and that minimum price is around $2500, no choice.
With due respect to your ambitions, and not knowing your qualifications, if you have not been active IN the field and need to ask costs, chances are you're setting yourself up for failure. Radio is a LIFESTYLE these days when privately owned, not just an income, and not a "license to print money." It takes talent, long days of work, talented engineers, good credit, knowledge of audio processing, BARE MINIMUM. You also have to be in a market which can support you, and have excellent salespeople!
If you have some experience, some cash, and lots of time to invest in your own company, go buy a distressed station and build it back up. It takes YEARS, but can be very rewarding if done properly. Localism is the key. It's no longer, "location, location, location, " it's" LOCALISM ,LOCALISM, LOCALISM" Operating an LPFM is an option, but those must be owned and operated by non-profit organizations, are limited to 100 watts, and still have all the EAS costs and legal restrictions of the "big" sticks. Might be good to get your feet wet AT a local LPFM where volunteerism is encouraged and what you learn can be used later as you grow in the field.
NOBODY should take lightly the effort to own a communications business, especially radio. When it IS successful, however, it is personally and professionally rewarding. Now that I've depressed you, I assure you it CAN be done, but the road is not easy.
Good Luck to you in your endeavor and your decisions!
Keep us posted.