I use strands of decorative lights rated for outdoors, plugged into a heavy-duty (outdoor-rated) extension cord that is plugged in in the garage. I used to use two strands of white holiday lights like these or
these, attached to the top corners and draped along the walls. This year I upgraded to these lanterns, strung through the center at the top:
The bulbs are LEDs and the shades are nylon (not paper). I find that the shades make the lighting more pleasant to look at (not looking at bare bulbs), and it feels less like Christmas lights (l'havdil). The strands of bare lights are brighter than the lanterns; each lantern seems to be about as bright as one candle (or so it seemed on Yom Tov when I could directly compare). I used two strands (totaling 20 lanterns) for my 8x8 sukkah and that produces a nice warm light, but it's not as bright as I'd like so I'll probably add a couple more strands next year. According to the specs, you can daisy-chain up to 15 strands.
I tie the cords to the sukkah frame with string. A system of clips could make that faster, but it takes me about 3 minutes to put up my lights so I haven't bothered.
As an alternative, this strand of icicle lights costs $15, burns only 8W, and generates a lot of light according to Isaac Moses (thanks!). While I haven't done this myself, I've also seen sukkot that add a single larger light (sometimes LED) suspended from the center.
In the past I've wrapped the connections (extension cord to plug, plug to plug) in plastic and then taped it tight with electrical tape. That hasn't caused me any problems. This year, since I was ordering new lights anyway, I also added these water-tight cord protectors:
As for operating costs, during chol hamoed I just plug the lights in before using the sukkah and for yom tov I just leave them on. A timer would reduce the wasted electricity on yom tov if you're concerned about that.