Several questions need to be asked:
a) Is this a hobby? Or will this be a business venture for profit?
b) How many acres will you be haying?
c) Is the hay for your use or do you plan to sell it?
d) What size and hp tractor will you be using?
e) What type of hay? (grassy based or leaf based like alphalpha)
Theoretical answers:
If you plan to use the hay yourself then you really do not even need a baler assuming your acreage is modest. Balers have only existed for 80 years or so, but hay has been put up for centuries without a baler. Hay can be put up loose in a barn hay mow, or it can be shocked and stored outside. (Only if you plan to sell it for profit then you will need a baler).
As for cutting: a hand scythe can be used for small acreage, although I will not cut by hand. A bush hog while not the best tool can actually work pretty well if set-up properly in grass hay, but will not work well in leafy hay as you will lose lots of leaves. Added benefit of the bushog is that it sorta conditions the hay for faster drying plus tenderizes stemy grasses to make them much more palatable to the animal that eats it. Downside of the bushhog is that you will definitely lose some of your potential yield (estimating 20% - 40% yield loss as compared to cutting with other methods), but if this is a hobby who cares - you already have the bushog, and they require next to zero maintenance. Sickle mowers is the next cheapest cutter up from a bushhog but they require quite a bit of maintenance but any small tractor can run a sickle. From here there are also drum mowers, haybines, disc mowers, and discbines - some are suitable for small tractors and some are not.
Small acreage: If you have small acreage it will take years to make a profit if you purchase expensive reliable equipment. For small acreage, then older stuff can be had pretty cheap, but I hope you like working on it (I actually enjoy working on my old junk, but some people hate turning wrenches). That said, I have still yet to turn a profit, but am close to breaking even and do enjoy it as a hobby.
If you have a small tractor: Modern mini-hay balers is available brand new (e.g. MicroStar) that will work on very small 15 hp tractors not much bigger than a lawn mowers, but it is prohibitively expensive and can usually only be found brand new - at $15k they are too expensive for small acreage operation. That said, there are old vintage balers that will work with your small low hp tractors in the 25 hp range, but these balers will be 40-50 years old and full of wear - so again hope you like to tinker. Unfortunately newer balers from the mainstream manufacturers require more horsepower than the older ones did. Newer balers will need 50 hp or me as they have much more capacity than the older ones did.
Literally hours worth of reading on this subject if you do some searching on this site and Yesterday's Tractor for vintage baler info. Just remember there is no such thing as easy money in hay.
Here is my hobby/junk operation with a 1978
L285 Kubota (26.4 max PTO hp at WOT, but closer to 23 hp with throttle set at 540 PTO rpm). A 1940's antique JD 594 hayrake, and a 1960 NH 65 compact baler (smallest of the vintage balers). Tractor looks terrible, but runs excellent. I spent considerable time on the Rake and baler getting them usable.
My helper (my wife) sabotaged my pics - she hates cameras and painted herself out.