Also been fascinated by gyros for many years. Have come close to pulling the trigger a few times. An ultralight would be ideal IMO, but I've read that it's impossible to build a 100% legal machine. A bigger hurdle though, even after watching flight videos, is wondering if I have the balls to sit out in the open at altitude. I'd really like to find someone with a two-place trainer gyro and pay for a test ride.
IIRC, Benson recommended building the gyro as a glider first and practicing at low altitude on a tow line. Not too many places where someone could do that. My understanding of the poor safety record for gyros is lack of training, so the cost of instruction/practice would have to be figured into the acquisition cost.
OP mentioned the mailman in DC. I would have liked to buy his machine, but I understand the feds destroyed it.