Distance and obsticles are the two most important factors here. A simple ethernet cable run from one to the other is the cheapest, but also the most limited. Limited by 100 meters maximum length, and whether it's possible to run a cable from one to the other. A fiber cable might be next, but more likely wireless connectivity is going to solve the issue much more nicely. But then you need a clear line of sight, and again the cheap solutions are very limited in distance.
If you're farther away than a simple wireless signal can reach, sorry, cheap is no longer an option. Now you're dealing with telecom equipment of some type, whether that's microwave, proprietary radio, satellite, free space optical, or services offered by a telecom company. All such options are going to be in the range of thousands of dollars, reaching into the mid 10's of thousands. A telecom contract may be cheaper than this, but it's a monthly contract, you keep paying and paying and paying.
Hope this helps,
-Scott