I think there are good points here!
> Spinning up some K80s on Azure, installing TF/CUDA/OpenCL
I think a single k80 instance is roughly ~$1/hr. If you had an experiment running 24hrs a day for a year, you'd spend a little over $8.5k. You can build an equivalent desktop machine for less than $2k [1], which might be slightly more convenient (once it's built), although I haven't really factored in energy costs.
> That's how you get into it as a garden variety dev.
Btw, you don't really need a GPU to start learning about deep learning. You can train a SotA modal on MNIST using Caffe I think in roughly 10m on CPU (maybe 1m on GPU). You can also train a reasonable sentiment classifier or natural language inference classifier in less than an hour on CPU. My perception is that these types of tasks are really solid for someone who is beginning to learn about machine learning or deep learning, as they'll provide a playground to mess around with different optimization techniques (SGD v. SGD+Momentum vs. Adam vs. etc), regularization (L1, L2, dropout, batch norm, etc), data augmentation, error analysis, and so on. If you do an ML interview for an entry level position, chances are these are the types things they will ask about.
I guess deploying ML solutions for a company you are working at is a different story.
> Otherwise, go for the PhD if you want to actually make new stuff.
There's some truth to this! PhD (like a Master's) probably doesn't make sense most of the time as a dollar-efficient career move. Rather, it's something you should pursue if you find being in an academic environment personally satisfying. You definitely don't need to be in a PhD program to work on new stuff (although it might make things easier because you will hopefully be surrounded by lots of fresh ideas). I've heard about people in bootcamps working on novel research. Now that so many powerful tools are open source and easy to use (Pytorch, Tensorflow, etc.), it's pretty easy for anyone to put together a novel model.
[1] pjreddie.com/darknet/hardware-guide/