Emigrant Lake is where we stayed in the area. LOVELY campground and definitely worth it if you can get a spot. The primitive sites will *not* fit any kind of normal rig (they're tent-sites mostly), but the hookup sites will fit anyone.
I've also heard there is some nice camping over by Howard Prarie Lake, but don't know more about that area.
Your next best bet would be to check w/ the forest service for Klamath National Forest. There are definitely NFS campgrounds in the forest and there *may* be dispersed camping too. That's likely to be your cheapest option.
http://www.fs.usda.gov/activity/klamath/recreation/camping-cabins/?recid=13053&actid=29