I lost my data on my Mac and now I don't know how to recover it. Do I have to go to a recover shop and pay for the costly recovery?
It depends on what condition the hard drive is in, if the drive is still at least partially working and can be connected and recognized by a computer, your in luck and you should be able to do your own recovery. Note that the drive does not have to be mountable it has to be able to show up in Disk Utility. If there was a mechanical or electrical controller failure with the storage drive then a recovery shop is the answer.
A Do it yourself solution if the drive is not dead
If you are using the drive to boot from, stop. Don't use the drive anymore until you have performed a recovery of the data.
If you don't have a external hard drive that you can boot from to do the recovery I recommend getting one, you can use it as your backup drive later. For now install SnowLeopard or Lion onto it, then boot up from it. Make sure it will be big enough to hold all the files you may want to recover including the size of OS X on the drive you are recovering data too.
Obtain a software recovery tool, I have used Data Rescue with great success several times in the past year. Additionally it is available at a great price Data Rescue at the Mac App Store, its cheaper since you can't recover from a hard drive you are booted from. This is not a problem, since besides one should not really recover onto a potentially failing drive or a drive where one accidentally deleted stuff.
Perform the recovery and save the recovered files onto your clean external drive you are booted from.
Recover and salvage whatever lost files you want to keep.
Try as MrDaniel has posted. In the future, make an investment if possible and take advantage of the features TimeMachine offers. http://support.apple.com/kb/HT1427 Let this be a lesson learned and allow for a simple fix in the future! :) Have a great day & good luck on the recovery!
If you have a backup, use Migration Assistant to recover your files from your Time Machine backup to a new user.
If you don't have a backup, you can use file recovery software to try and recover some of your files.
First, as described on another answer, stop using the computer with the deleted files right away.
Each time you turn on the computer, space marked as empty is overwritten -for cache purposes, local Time Machine backups, etcétera- and your chances of recovering your files diminish.
Then, put the computer with the deleted files on Target Disk mode and connect it to another Mac. On this second Mac, install recovery software. I've used TestDisk with success.
Other users recommend Disk Drill, which has a GUI, and may be easier to use.