Lots of misinformed assumptions being thrown around here. While it is certainly true that " there are plenty of funded MA programs" (I'm currently in one), it is not true that "an unfunded MA doesn't look good when you apply to PhD programs" or that "they are easy to get in[to]." I would recommend seeking out this option first, but many people do a pay-your-way MA and go on to be very successful. As the euphemism suggests, it costs quite a bit, but if you can afford it, it can function as a very solid stepping stone for a good PhD program (especially Chicago's program).