What exactly do you mean by "cheap?"

Triscend do a "cheap?" dev board at ~US$149
It has JTAG for downloading & in-system debugging
http://www.triscend.com/europe/E5+keil.html

Steve Taylor started a thread on it back in April:
http://www.8052.com/forum/read.phtml?id=11233
(Their "full" dev kit is ~US$600)

I think Cygnal do something similar at ~US$99

Note that the free Keil eval includes a simulator, so that could get you started without even having any hardware!