I have MATLAB. I would like to try out a small EEG project because my field of interest is in neuroscience, however I'm still doing my undergrad.
The OpenEEG project has some information for building your own EEG system. Instructables has a "simple" EEG circuit you can build. Note that this is going to be somewhat costly and time consuming because you are dealing with tiny voltages and high impedances.
You also might want to look into utilizing some existing publicly available EEG datasets instead of collecting the data yourself: