Ok, thanks for your replies!
After doing some more research, it all seems to boil down to this:

(From:
http://www.nexgenergo.com/medical/biodataemg.html)
Two electrodes connected to the skin above the muscle and the inputs of a differential amplifier, and a third electrode used as refrence/ground. The amplifier boosts the diffrence between ground (voltage read of skin) and the voltage read of the skin right above the muscle. If one wants to be really fancy, one could filter out 50-60Hz (noise from mains wireing) and use high-pass and a low-pass filters.
So, I think I've got the general principal of this down. Now I only need someone to tell me how to do this. I have as I mentioned before, never used an amp-IC and thus I do not know how they work, part-numbers, etc.
Why is there as good as no information on this online? Does the prostetics-manufacturers want to keep this a "trade secret"? "Uuuh, EMG-sensors is sooo advanced, you building one (on the cheap) is about as likely as you going to Mars! So, we'll just keep on charging $5000 for something with 1 or 2 of these sensors, a motor and some gears. Costs <$100 to produce, but you don't know that!" *evil grin*
Also, why is there apparenty no interest in this kind of sensors in the DIY/tinkerer crowd? Who would not want to make a hookup that allowed one to control ones computer or some robotics of some sort by muscle movement??
Controlling Super Mario with homemade-looking EMG sensors on breadboards!
http://youtube.com/watch?v=Z1npwCTQ7-w