I want to develop a little iPhone application, just for my personal needs. I don't want to sell it or give it to anybody as it will not be useful to anybody.
Can I have this application on my iPod/iPhone, without having to pay/suscribe/be on the Apple store ?
You need to pay the $99 for the iPhone Developer Program in order to be able to install your application onto the iPhone/iPod.
You can, by Jailbreaking your iPhone and then installing the AppSync program from Cydia. Then you can either build your app as a release and drag it into iTunes and sync your phone or change some settings (look it up on google, putting Xcode project on jailbroken device) in the Xcode project settings and open the organizer window and click on the use for development button on the device's page.
Jailbreaking your device will void your warranty if Apple find out (ie if you go into a shop and ask them to fix your device if it ever breaks without clicking restore in itunes to unjailbreak it)
With the Spirit jailbreak, Jailbreaking is as simple as plugging in your phone and pressing jailbreak.
(and the US Government has said that Jailbreaking is legal: http://www.pcworld.com/article/201892/us_government_iphone_jailbreaking_is_fair_use.html)
You could write you program and test in the simulator with the free SDK.
When you are satisfied you could send the source code to a licensed developer, I'd suggest some friend, that can build an AdHoc version for you to run on your own device.
A little tricky and you need to let another developer see the code. This app will also only last a year or less as certificates and profiles are time limited.
Why don't you write it as a website that is iPhone friendly then go to the site in your phone's browser and save a link to the site? It will show up on your desktop similar to an app. To have a true "app" I am sure you have to pay apple.
It depends on what your definition of "pay/subscribe/be on the Apple Store" is.
Yes, you have to pay a subscription to the Apple iPhone Developer programme to get access to a provisioning profile to enable you to put an app you have built onto your iPhone/iPod. This will cost you $99.
The dev tools (Xcode/Interface Builder) are all free, but without the dev programme subscription you will not be able to put your app onto a physical device, only the emulator.
But no, you do not need to distribute your app via the app store to deploy it to your own phone. However, if you do not distribute the app via the app store then it ultimately doesn't get digitally signed by Apple and when your provisioning profile expires you will not be able to run the app on your phone until you have renewed the provisioning profile.
Well you may be able to do it if you jailbreak your iPhone. I haven't tried it myself but I found this link.
You'll have to decide for yourself about the moral implications of by passing apple's security.