There are several Print-On-Demand printers that can do affordable short runs of dojinshi - links to many of these can be found at
http://www.squidworks.com/resourcelinks.html (about mid-page), such as Ka-blam, comiXpress, Lulu... The per-unit price would be higher but the total cost would be lower.
There are also links there to offset printers, which will give you a smaller per-unit price but a pretty big minimum order (like 1000+) - if you were expecting to print that many, then this would definitely be the way to go.
If you were planning to do simple digest-size (8.5x11 folded to 5.5x8.5), then local print places such as Signal Graphics, Minuteman Press, or Kinkos is probably the cheapest/easiest.
Hope it helps,
gg