Of late I've taken to printing entire books from Project Gutenberg, two pages per sheet, landscape orientation, double sided. I hold them on a clipboard and underline as I read--a simple kinetic trick which helps me focus, but which I never felt comfortable doing with store bought books (until recently, at least).

The wide margins leave me plenty of room to write. The books are endless. The cost per book, in printing, comes to something like $2.

And there's a charm to it. It's simple. Messy. Anti-fancy. It's a pleasant way to learn, and to study. I'm planning to go through a lot of old literature this way.

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(Edit: A couple readers have asked me to go through the pricing estimates: The price varies strongly with number of pages, which I control by using a very small font (size 8: see picture below) and printing multiple pages per sheet. Printing a 100,000 word book from Gutenberg, for me, uses just 38 pieces of paper, which keeps the price down. Your mileage may vary depending on your settings).