Just read an interesting post by Tim Barcz. It's about a team struggling to adopt agile practices, and if given a chance to start over, what they should set up first: a CI build or a unit testing process.
I don't understand why someone would even have to choose between them. Setting up a regular CI build (with that i mean a simple compile + running all the tests) for a project should never take more than 10 minutes, tops. That is assuming that you already have a build server in place, obviously. But with Team City being so incredibly easy to install and configure, that can no longer be an issue.
So what does it take then? Drop in a simple, standard build script which builds your project and runs the tests, add a build configuration and you're done. Setting up a basic CI build should never take more work than that, unless you have some very specific needs, or the project structure is somewhat messy... as in: it doesn't compile if you don't have certain assemblies in folders that are either hardcoded or 'assumed' to be there... which should be avoided at all times 
Seriously though, long build scripts or requiring a lot of time to set up a new CI build are all signs that your CI process in general needs some refracturing (nope, not a typo).
And in case you needed some motivation: even TFS 2008 allows you to set up a CI build in less than 5 minutes of work