We've done the HypnoBirthing course, we paid privately and a trained midwife came to our home and gave us 4 sessions. The total cost of the course was £200 and included the book and CD. But it went way beyond just HypnoBirthing and was a full antenatal course and we were able to ask her anything about pregnancy, birthing, feeding and so on. So I would totally recommend HypnoBirthing with a professional, if you can afford it. In our area to have done an NCT course would have been about £160 anyway, so I think we've got value for money.
Ideally you needed to start when you were around 24 weeks because once you've completed the course you need time to practice the relaxation and breathing techniques so they become second nature and you can do them easily even when in labour. But even at 34 weeks if you can get hold of the book and CD and are willing to swot up you will definitely get something out of it.
The idea is that you fully understand what is happening to your body at all points in your labour and therefore remain relaxed and calm throughout and just allow your body to do what it was designed to do naturally. By relaxing and using visualisation (distraction) techniques you just let your body do the work. This means you're not tensing your muscles and fighting nature, but working with it. This leads to a swifter, calmer and potentially pain free birth.
As others have said, this isn't routinely offered on the NHS, but it is currently being trialed by the NHS for 18 months in hospitals in Blackburn and Burnley, so I really hope that trial is sucessful so that more women can access these techniques as every birth story I've seen using hypnobirthing has been really positive and I hope to add my own to that in about 3 months time.