It appears that the majority of musicals being refered to in the answers to this post are from the big houses, i.e., MTI, Tams and Samuel French.  It is possible to do musicals from smaller rights houses for much less than the major companies. 

There are smaller companies that have musicals, such as Anchorage and Pioneer.  There are also more and more companies that are licensing only a handful of shows.  I have seen a number of flyers come through for shows like this.  The major problem with the shows from these companies are the quality.  Some of the shows are excellent, but some are very bad.  You have to be very careful when choosing shows from the non majors, make sure your script committee is careful.

Another problem with using shows from the smaller houses is name recognition.  You will not be able to get the shows everyone knows like "Annie", "The Music Man", "Guys and Dolls"., etc.  You can find some musicals with well known names that are not he show everyone knows.  There are a number of "Phantom of the Operas" and "Beauty and the Beasts" avaliable, but they are not Andrew Lloyd Weber or Disney versions.

If you are going to do a first musical, my suggestion is to choose a show you can afford, and even more importantly, do well.  If you do a small lesser know show well, you have a better chance of getting the audience to come back than if you do a big well know show poorly.

John