I got mine when I was out there house hunting. I got a notarised copy of my passport done in the old town (€4 IIRC???), gave it to my solicitor and he got the NIE for me. Yes, it cost a few quid but it was one of those things which just becomes a pain otherwise.
If you comme to Spain as a "genuine tourist" you do not need a NIE. Now, if you plan to "do business" (in one form or another) and are very law abiding, you would probably need one. And if you plan to become a "permanent resident", then that is whole different kettle of fish.