I am going to give the Harmonica a crack, mainly because I like the noise it makes in Black Sabbath's 'The Wizard', and partly because it is small, and hopefully reasonably inexpensive.
I would rather do it all on my own, ie not paying for lessons, so, is it easy to learn via book/DVD, can I just rock up in a Music shop and ask them for a Harmonica?
Well, by all means go to a music shop and find a tuition book or CD, but you want one for Blues harp technique and not Chromatic Harmonica.
And, of course, there's loads of info on the interweb...
I'm no harmonica player (but I have been an acoustic and electric bass player in blues, rock and jazz bands for 40 years) and I would say just give it a go really. Do you have any mates who play blues harp or is there a blues club nearby?
If so, any of those guys would be only too happy to give you a few tips in exchange for a beer or two, I'm sure.