Best to start is by deciding what you want to collect. Heroes, troops, good guys, bad guys. Some kind of faction? I dedicated myself to only collection the Elves for example.
Decide what you like and go from there.
Do you want to paint them yourself? Finding painted ones can be pretty hard and the real good ones often come at a real good price if you get the point
If you want to paint them yourself, you'll find yourself investing in paints and brushes at some points. There's enough information on here that can help you with that.
GW's site is the easiest place to buy figures, but can also be the most expensive. Have a look if you are lucky enough to get them at a local hobby store. Otherwise, the second hand market places like ebay are a great source to get figueres too, and you'll find the retired ones her too (again, at a price).
Good luck on getting started.