Yes, I think most HVLPs require more air than most lower-end compressors can provide.
I have one of the C-H detail guns ($25 on sale at Lowes, I think) and it does a decent job. Drak is right, it's all about learning to operate the thing, and learning what lacquer/thinner/retarder ratios work. Not all lacquers are created equal, so you really have to know what you're working with. I learned the hard way. Fortunately Drak was there to talk me through it.
IMHO I'd suggest:
1) Get the "Guitar Finishing Step-By-Step" book from Stewmac and read it several times. Plus any other good finishing books you can get your hands on.
2) Watch the "Spray Finishing Basics" VHS, also from Stewmac. Over and over.
3) Invest in the best compressor you can afford. I had nothing but trouble with some of the lower-end units, until I got my Craftsman. The more CFM the better, in case you decide to upgrade your gun later.
4) Start out with a standard spray gun and practice practice practice. You'll start to get the hang of it after 20 coats or so.
5) Have fun with it! Once you get a feel for it and you start laying down nice, glassy coats you'll be hooked.
Mike