Current code requires a cold air return along with a heating vent in every room, including basement rooms.
You can also get Delta-FL, which is a plastic subfloor that will increase the warmth of your floor.
http://www.deltafl.com/ It's sold at Totem.
Foam is indeed about 2-3 times more efficient that regular insulation for the same depth. If you want to do your whole basement, I'd say it'd be at least $2000 to get it done (I got some estimates a few weeks ago). Be sure you do your wiring, etc. beforehand. If that's too expensive, you could get something like Roxul which is better than the standard "pink".