I've never used Amazon EC2, but with this kind of application, I might have to give it a try. Buying a $300 graphics card just to try some GPU programming is ridiculous.
AMD's APUs are quite cheap (~$100) CPU+GPU designs similar to those in the upcoming PS4 and XBox One (though the retail APUs are somewhat less powerful). They've been more-or-less designed specifically around the needs of a heterogenous OpenCL application.
Finally, the last several generations of NVidia cards all support both CUDA and OpenCL; the newer cards do support additional features though. You should be able to pick up a low-end, recent-edition Nvidia GPU for roughly $100.
The new g2.2xlarge instances are $0.650/hour, and the existing cg1.4xlarge are $2.100/hour; so it may make sense to experiment on AWS a bit, then buy your own card for long-term use if you decide to spend more time doing GPU programming.
Sadly, Intel's integrated-GPU OpenCL still doesn't support Linux, and only just started supporting OS X in 10.9 Mavericks[1]. Usually Intel's Linux GPU support is great; I don't know why this is different.
(Intel do have a Linux OpenCL implementation for Xeon CPU cores and Xeon Phi coprocessor[2], which doesn't help me much. On-CPU OpenCL is fine but hardly faster than regular CPU code, and Phi coprocessors aren't very common currently.)