The machines are expensive, but if you've got a serial terminal, you can wire up a storage-less SBC fairly cheaply, and even build a micro, if you're good. http://searle.hostei.com/grant/
has some schematics for simple ones, if you can't be bothered to draw up your own (it also has a design that allegedly can run CP/M off a CF card). It even has some instructions for building your own micros (ZX80, Jupiter Ace, and part of the UK101).
But I'm mostly building single-board stuff, because I suck, and I want to play with assembler without an OS, and it seemed like a fun way to do that.
My one problem is the 6809: it's back in production (thank you Rochester Electronics), but you can't actually buy them, AFAIK.