Pfew. after quite a lot of work, I now have a workflow to program a fpga board!
Got a cheapo ($75) XC3S200 board from ebay, installed the Xilinx ISE under linux (debian), got a USB JTAG adapter (amontec JTAGKey) and configured the whole lot to allow programming the board from the IDE.
And guess what, I got a blinking LED ! Huzzah ! :D
The thing to note is that fpga compilation is /slow/. My blinky led take about 3 or 4 minutes grinding and compiling to get the binary file; and thats just about a page of VHDL !
The PC is not horribly slow (P4 2Ghz/1GB RAM) but it's very, very sluggish in the IDE.
But it works, that wasn't trivial too :D