I just finished running a 125 foot run of polyethylene pipe for natural gas. I was told that I had to have a licensed contractor purchase the PE pipe, the elbow radiuses, and the couplers. When I called the sales office at Ferguson's plumbing here in Sacramento, the guy told me that I could just purchase it myself...so I drove right over and picked up everything I needed. As others have mentioned, it's not the PE that costs much, it's the couplers and the radiuses.
If you are going to direct bury hard pipe instead, I think you're supposed to use the green pipe (coated black pipe). I was told that black pipe was supposed to be wrapped before burying. Just my opinion but I would run the gas line underground outside the foundation, bring it above grade, and then enter the structure through the wall. There's just something about the finality of everything when the concrete of the foundation and stem wall hardens. At least if something goes wrong in the future and you need to get to a leak underground, I would feel better cracking out an external concrete pad than jacking up the foundation, especially if you have your foundation poured with rebar.
In the end, it was about $600 to run 125 feet of PE, two 90 degree radiuses, and two couplers. The black pipe would have been about $100 cheaper and the green pipe would have been a couple of hundred dollars more expensive. Make sure that your gas pipe is at least 18" below grade, preferably 24".
Here's a picture of one end of my PE pipe before I tied it into my house. The radius comes with a foot of PE pipe attached. You can see the black "egg shaped" coupler that attaches the radius to the PE pipe. The green wire is a tracer.
The other picture is where the gas line ties into my addition. Each end has a shut off valve, and a plug for a "future".
Good luck!