I just got a Walmart air compressor and though I'm new to airbrushing, I love it. Its the campbell Hausfeld FP 2040, the new version of the FP 2003 you may have seen recommended on these boards. It comes with a regulator, and for an extra 11 bucks you can buy the trap they have as well. They also sell an connector accessory pack for 10 bucks that's well worth the purchase. I have two airbrushes, the Aztek 470 and Badger 175-7, and the quick release nipples make changing hoses a snap.
The accessory kit comes with teflon tape which I recommend you use on all the connectors (except the quick connectors, of course). The Aztek plastic connectors tend to leak air if tape isn't used.
I can brush for about 3 minutes straight - thats holding down the air release constantly at 25PSI before the motor kicks on. It takes about 45 seconds to come back to max pressure and then has an auto shut off. The motor comes on at 75psi and shuts off at 100, which is the compressor's max PSI.
At $105 for the whole package, it is a great compressor and far less than the "made-for" compressors you'd buy from Testors or Badger. I think they must be nuts for pricing them so high - most don't even have a tank!
Good luck,