There’s a common misconception that self-signed certificates are inherently less secure than those sold by commercial CA’s like GoDaddy and Verisign, and that you have to live with browser warnings/exceptions if you use them; this is incorrect.
If you securely distribute a self-signed certificate (or CA cert, as bobince suggested) and install it in the browsers that will use your site, it’s just as secure as one that’s purchased and is not vulnerable to man-in-the-middle attacks and cert forgery. Obviously this means that it’s only feasible if only a few people need secure access to your site (e.g., internal apps, personal blogs, etc.).
In the interest of increasing awareness and encouraging fellow small-time bloggers like myself to protect themselves, I’ve written up a entry-level tutorial that explains the concepts behind certificates and how to safely create and use your own self-signed cert (complete with code samples and screenshots) here.