I remember making this in a school experiment: http://en.wikipedia.org/wiki/Polyamide
Basically, you layer two immiscible liquids on top of each other, and a polymer film forms at the interface and can be pulled out. That's what I remember.
if you need bulk polymer, the polmyerization of stryene or acrylic monomers is relatively easy by free radiacal polymerization. You need initiatior, and some cooling to prevent the runaway reaction.
As Wolfdietrich Meyer points out, you probably need to be more specific on what you want as there is hardly a "correct" answer to your question. A very cheap monomer to polymerize would be styrene, also some acrylates (e.g. methyl methacrylate), as Gyorgy Banhegyi points out. Polymerization is relatively simple, but that wont help you much if polystyrene is not the product you want. I you just want to demonstrate polymerization, for e.g. undergrad lab course, thats fine. The "smallest" monomers would be ethylene, or ethylene oxide but their not very cheap (if purchased from typical providers) and not so easy to polymerize in a safe way. For the polyamide-preparation as provided by Dieter Weber, there are some things you need to be careful. Reagents for this reaction are toxic and a bit problematic to handle (e.g. the diacidchloride used is prone to hydrolysis, CCl4 is toxic), so you need a properly equipped lab. In summary, in order for the community to be able to provide more helpful answers, please take your time to formulate your question accordingly.
Thank you all for the answers. I am working on wood modification. The aim of the modification is mainly to reduce the water uptake into wood without using any harmful chemicals. Several chemicals have been tested. Some are based on reactions with the OH groups in wood (Acetylation), others are just a polymer that fills the gaps (furfurylation). I wanted to find a polymer in which the monomers could penetrate in the cell wall and then be polymerized.
Your answer is in functionally monomers that could be coupled to hydroxyls and react slowly. Otherwise reaction occlude the pores.
Surprisingly the phenol-formaldehyde resins are a very cheap class of polymers that satisfy the condition.
More than 15 years ago I was working in this problem (with other elements) and the answer is everytime the functionality of one component of the monomers. Object was windmill blades.
So I decided to impregnate the wod with one monomer, acting as a functional primer, and then complete with the rest.