Sony has its package deal with Final Fantasy and the shrimpboat Sony 40gb hard drive. I've seen it as low as $90 for the package deal. However, if you don't plan to chuck your PS2 when the new one comes out, you may want to buy a larger hard drive. The most common one that works with the PS2 is the Maxtor 6Y120PO. 120gb is much better than Sony's 40gb! That said, you'll need to buy HD Loader or Advance. I've seen the original packaged software for about $35. You can also go to other forums and download the hacked version, but I like to have the legitimate stuff (even though you can get hacked versions with more capabilities).
Make sure you buy the Network Adaptor because you have to have it in order to use the HDD. It connects the hard drive to the PS2 (Sony probably did this just so they could sell more network adaptors).
I wish Sony would have included this info in the original instructions. I didn't know if or how I could expand my PS2 capabiity until I started searching forums.