Martin Nawrath has documented how to make a sine wave generator with an Arduino that uses the digital direct synthesis method. Using a standard Arduino board and some external circuitry, signals of up to 16 kHz can be generated. Considering the cost of doing so, building this example is a fun an educational project. Here is an example of the output:
Once more it's interesting to see what sort of test and measurement equipment can be created, and this is another inexpensive solution. For detailed instructions including the circuit, Arduino sketch and notes - check Martin's website here. To get started with Arduino and projects like this, consider using a Freetronics Eleven - the Arduino Uno-compatible with onboard prototyping area that would be perfect for the DDS circuitry:
