If there's a window envelope, there's a space behind that. That should be used also. Some mailers use the entire inside of the envelope to put testimonials on. I have also seen it used as an additional order form. The letter comments, amplifies, makes more human, 'sells' the facts in the other material.
People expect to receive a letter.
They like getting letters. If you can't afford a costly mailing, then leave out the brochure not the letter. You can get the best of both worlds by illustrating your letter - but make sure it's still in the letter 'convention' by using a typewritten script. The principle here is similar to that governing length of copy. The more you have to say or can say, then very often the more pieces you can usefully put in.