Do I need a visa and/or letter of invitation? How do I get one? And where?Visa HQ can answer this question for most people. Simply enter your citizenship and your destination, and it will tell you what the visa requirements are. But I can tell you right now that you're almost certain to need one for everywhere except Kyrgyzstan.
It can be difficult to get solid information on where to get visas, and figuring out the best places to get them, but Caravanistan does a pretty good job of helping you out.
Letters of invitation will be an unavoidable hassle for many, especially for natives of English-speaking countries: many nationalities will need a letter of invitation to get an Uzbek visa, and pretty much everyone will need an invitation/confirmation number to get an Iranian visa. If you do need invitations or any visa service, I strongly suggest you contact Stan Tours. I dealt with Katya, and she was prompt, professional, honest, and extremely helpful.
Even if you think STANtours can't help you out with your specific visa needs, I would suggest contacting them anyways: they don't advertise all of their services in order to avoid problems with their payments processor.
TurkmenistanIf you're heading east to west, then Dushanbe is the best place to get your Turkmen visa. The consul is extremely friendly, and will help you out. 2 weeks processing and $45 for a 5-day transit visa; 1 week less and $10 more for urgent processing. You have to specify the exact ports of entry and departure at the time of application, and this cannot be changed. A visa for your onward country is required at time of application (visa for country of entry is not required). The consul will also let you change the entry and exit dates at the time you pick up the visa (within reason), which is amazing given the general inflexibility and ridiculousness of Turkmen visas. I haven't heard of any problems at this embassy, as everyone seems to get their chosen entry & exit ports, as well as the full 5 days (this is not the case at all embassies). If you are coming from Iran, Mashhad is a good place to get a Turkemen visa.
Be aware that it is extremely difficult to get a Turkmen visa during the month of October. The prevailing theory is that this is because the Turkmen Independence Day celebrations are during that month, which somehow necessitates secrecy. A travel agent I spoke to in Ashgabat implausibly suggested that because so many foreign dignitaries come to the celebrations to honor Turkmenistan and its leader that they need to heighten security during this period.
IranIranian visas are the most difficult to get, and your chances vary depending on the political climate and the state of relations between your country and Iran. For most Westerners, you will need to obtain a confirmation number from a travel agency, and then present this confirmation number at the embassy where you are picking up your visa (you tell the agency where they should send the confirmation number).
Unfortunately, there are some really bad agencies out there: I've heard of people being given fake confirmation numbers, or agencies failing to tell people that they've been denied.
I got my visa in Bishkek, but I've heard the embassy there is not the best place. They couldn't find my confirmation number/letter the first time I went, and when I was able to apply they had 3-day processing time. They also required proof of travel insurance. Dushanbe is apparently a better and faster place to go through.
The visa price was 60 euros (Iran naturally refuses to price things in dollars). The standard procedure at Iranian embassies is that you go to a local bank and pay the fee to the embassy's account there, then return with the receipt. Show the receipt, and get your visa.
The visa fee is in addition to the fee you pay the travel agency for the confirmation number. Paying for the confirmation number was quite difficult, as the bank transfer services I used in my attempt to transfer money to the agency's UK bank account was blocked. I ended up asking a European traveler to make the transfer from his EU account, paying him in cash (North American banks enforce sanctions on Iran much more stringently, it appears).
If you're heading to Iran from the West, the consulate in Trabzon, Turkey has traditionally issued tourist visas without a confirmation code, and same day service—extremely convenient. However, if you come from an English speaking country, it appears you typically need a confirmation code there, although there may be some hope even if you don't. I have heard that the consulate in Batumi, Georgia, does the same.
KazakhstanI got my visa in Mongolia, and it was a pain, involving multiple visits and a week to process. I believe it takes a week to get your visa in Urumqi, so it's not a great option, either. In Bishkek it can be done in 3 days. Prices seem fairly standard between embassies at $30 for single entry and $60 for double entry.
AfghanistanThe consulate in Khorog is probably your best bet, as you can get the visa on the same day. I paid $50 cash for the visa itself, and they wanted another $50 for urgent processing... but this fee is highly negotiable (as it should be, since it goes straight into their pocket). If you are told to pay at the bank and to bring your receipt back (which is how it should be done), it will likely be much cheaper: I spoke to someone who paid something like $35 at the bank for his same-day visa.
The embassy in Dushanbe charges $70 (payable at the bank) for 2-day processing, with no urgent service available. Dushanbe staff are very rude and don't seem to have a good grasp of either English or what is going on (one kept insisting I needed a transit visa to visit the Afghan Wakhan, which he said I couldn't get since I had already used my Kazakh visa??!). At both locations they will only issue single-entry tourist visas that begin on the date of issue and expire 30 days thereafter.
UzbekistanI got my Uzbek visa in Dushanbe, for $75. I already had a letter of invitation (LoI), and the visa was issued while I waited. The wait was about 3 hours, however: Uzbekistan makes Tajiks get a visa as well, and the embassy was swamped. Staff are not friendly, and the dates listed on my LoI were ignored: the visa period began running on the date of issue, and expired 30 days afterward. If you have an LoI, I suggest trying in Bishkek, as it is also issued while you wait. Without an LoI, however, it can take up to 2 weeks in Bishkek. So even if you don't technically need an LoI based on your nationality, I therefore suggest getting one in order to avoid spending way too much time in Bishkek.
Again, I would suggest going through STANtours for all your visa/invitation needs (their Uzbek LoI is $45), as they are very honest and extremely helpful.
TajikistanYou can get a visa while you wait in Bishkek. $75 for single entry with immediate processing. $55 if you can wait for one week (they simply put your application aside and then immediately process this saved application when you return a week later; they don't keep your passport or take any money when you initially apply/drop off your application form). Add $10 for double entry,which you will need if you decide to visit the Afghan Wakhan (if you're only going to see the Sunday market in Ishkashim, then a single-entry is fine).
Most Tajik embassies grant visas just as quickly and painlessly.
Ask if you can get the GBAO permit (necessary to visit the Pamir highway) when you apply for your visa. In Bishkek you can ordinarily get it at no extra charge. Some embassies will not give it, and require you to get it in Dushanbe. If you arrive in Osh and don't have the GBAO permit, you can get it for about $45 through the Osh Guesthouse, and then head straight to Murghab without having to go to Dushanbe to get the permit.
ChinaI don't have personal experience with this one, as I got mine in Hong Kong (same-day double-entry visa valid for 90 days, eliminating the need for visa extensions, through Forever Bright Trading), but I have talked to multiple people who had trouble getting Chinese visas (some needed proof of accommodation for their entire stay in China, as well as tickets in and out).
Part of the difficulty is that if you are coming from the West, the Chinese know you are going to be visiting Xinjiang, and they don't particularly encourage tourism to this area (though it's obviously not as bad as trying to visit Tibet); even if you are applying from elsewhere, it's best to avoid saying that you are going to visit Xinjiang. But I've also heard of people having difficulty applying for a Chinese visa in Mongolia, to the extent that the applicants decided to fly to Hong Kong to get a same-day visa there.
So if you are heading to China, I suggest you do some research before departing home or arriving in Central Asia— if you wait until your last country before China you may be in for a surprise.