I like to autocross, I do it as much as possible, it does improve driving skills, and is relatively cheap, but after running stock cars and road racers, it just doesn't do it for me like actual competition on a road course or an oval. I did a lot of kart racing and that is a real good entry level sport, but these days you can dump over 10K in a competitive kart, and that is just stupid money. (as an example I used up over 5K in 1992 winning the Fla State Championship and ran more than 40 races that year, and that was without replacing any engines or frames) You will however, be able to get out of a kart and slide right into a serious open wheel race car with little problem (which is probably the reason the SCCA hates kart racers). In any case right now autocrossing is probably the biggest bang for the buck.
130 MPH Kart racing Formula cart racing Shifter kart. - YouTube