FWIW, I think the little Coleman 28 makes a great "starter" mash tun. Excellent size for 5 gal batch sparge batches, easier to stir than a round cooler, it is kinda thin, but if preheated will work fine IMHO, and for 11 bucks!
You will need to drill it, but you can simply drill a hole for a drilled stopper, pull a tube through the stopper and attach a braid. You can very easily set it up as shown in the link, I wouldn't bother w/ the copper but use a HD vinyl tube, instead of a ss clamp, a zip tie works well. A great little tun, under $20 complete...of course this is not for everyone. You can also add an inexpensive plastic in-line valve (optional), I think NB sells them for a couple bucks.
http://cruisenews.net/brewing/infusion/page1.php