in first world countries Cloudvox/Twilio/Tropo can all receive inbound SMS and post the contents to your endpoint. Outside of the first world the costs increase significantly, and I believe both Orange and Clickatel become options to consider.

Cheapest option? You get an unlimited SMS plan on a cellphone that you can download SMS onto a computer from, keep the phone cabled to the computer and process the inbound SMS that what.

That's what we did (basically) before we had HTTP/SIP/SMPP SMS gateways in the cloud.