They're certainly doable. If your heart is set on these neat little guys, go for it. A lady in my local reef club breeds them, which is really cool. These days you can acquire them aquacultured, which is definitely the best way to go. Like mandarins, seahorses have a stigma that they're impossible to keep, need to be kept in the wild, etc.
A good place to start is getting in touch with people who keep seahorses. Unfortunately, I don't know anyone around here who keeps them currently. I know Pandora at Pandora's aquarium keeps/has kept them. I've emailed her before with some questions and she was very nice and helpful.
Here's a link...
http://www.fishpalace.org/H_barbouri.html
Since their feeding is similar to mandarins, I've read up on seahorses too and have personally come to the conclusion they aren't as hard to keep as they used to be, especially with them being tank raised these days. I'd start with a ten gallon and really try to find a specimen you know for a fact has been tank raised.
They are definitely not the easiest fish in the sea and a proper setup will run you a few extra bucks and some added thought, but that's no reason not to give it a go if you want to try em out.