Depends a lot on what you are trying to do.
Its easy to decode the data thats transmitted from Oregon sensors so that you can receive them using an Arduino and then display them on a PC which is connected to the Arduino.
Have a look here.
http://wmrx00.sourceforge.net/
The weather shield is an Arduino based program that can decode the WMR100, 200 series of sensors.
If however , you want to make your own sensors and have them displayed on a Oregon console , then thats a lot harder to do
as there is information in the data that is sent from genuine OS stations that is not fully understood as to its function.
Ive built 2 Arduino weather shield decoders and they work fine .
Ive also made some of my own sensors, mainly temp / humidity ones and they also work fine when used with the Weather shield.