Oh dang… how expensive is “insanely expensive”?

Expensive.

Is it like a buying/finding/crafting rare materials thing?

Yes.

The other person linked the guide, but breaking down the work to get a single piece of original tier 3 appearance (after having already completed the prerequisite secret quests), you need:
-A "Lamented Crusader" item for that slot, a rare drop from identifying a "Dented" item for that slot sold for scourgestones (which you can now acquire again, have fun farming those), these are worth 120000 to 330000 gold each depending on the slot if you don't want to farm them yourself
-A "Cursed Cloth" (or equivalent for leather/mail/plate), which can only be made by someone who has tailoring (or the relevant profession for other armour types) and also got the original Tier 3 before WotLK came out or has also done this process (mats for this are relatively cheap now if you can find such a crafter, around 8400 gold for the mats currently)
-70 to 280 Phylacterweave, depending on the slot, a vendor item that costs 2000 gold each or has a small chance to get 1 when rolling a "dented" item for "lamented" items
-10 righteous orbs per item (about 20g each)

Currently, ignoring any crafting fees, it's 2.8 million gold for the phylacterweave, 68000 gold (or so) in crafting mats, and 1.9 (or so) million gold for the Lamented Crusader items, for a total cost to make a single T3 set of around 4.7 million gold. You can save a lot of money by farming the Lamented items yourself, but you're still likely going to be buying a lot of phylacterweave. Additionally, the expected outcome right now is around 120 Naxx runs to get the Lamented Crusader items yourself if you farm scourgestones that way, so expect to be farming for quite a while if you're doing it yourself and not spending gold.

It's cheaper to buy them off the Black Market. I had Plague Heart and Bone Sythe from Vanilla, but I always wanted Drednaught since I only started playing a plate class in Wrath. I've bought the entire set from the BM vendor for around 1.3 million.