Sparkfun and others sell a 434Mhz transmitter and a receiver for €2.88 and €3.61.

This version receives at 2400bauds but there is a 4800 bauds version.
Simply connect the transmitter to an arduino pin then your are done (almost).

My first try was to follow the example from sparkfun, which simply read a value from the receiver:

// read in values, debug to computer

if (Serial.available() > 0) {

  incomingByte = Serial.read();

  Serial.println(incomingByte, DEC);

This has collected a ton of garbage (without emitting).

The answer was to use OpenWire an amazing piece of software ... that handles checksuming for you, just connect to your arduino pin 12 for TX, and 11 for RX then you are done ! 
This is working like a charm in all my house without requiring any antennas.

You can get all your Arduinos connected for less than 7€ !

PS: Sparkfun are great dealers this parts was missing in the first shipping they send it again in priority mail: 48 hours from USA to France ;)