If you can get access to the drive bay it's quite straight forward.
You'll need to do some research to make sure that the laptop will accept the drive. I'd stick with similar specs such as ATA speed, brand and RPM to try to minimise problems.
Otherwise it's just as simple as changing the HD on a desktop. Unplug one, plug in the other, format and install.
You may have problems if your laptop has restore information held on a partition of the original drive. Do your home work and it should be easy.
Prices? Significantly more than a desktop drive of the same size but for a 40Gb drive prices are not too scary.
40gb are coming in around the £50 and roughly double for 80Gb.