Once you get past assembly (the advice here already is great!), you'll want to look at paints. Do yourself a favor and get a good primer (around $15, I use Army Painter flat black primer), and then 3 brushes (kolinsky sable is the best, but regular sable works fine too). Get a size 0, 1, and 2. Do not get super cheap brushes, but you don't need way out expensive brushes either. $8-12 a brush should be your target.

Then you've got to choose paints, and this will boil down to personal preference. Vallejo makes great paints, as does P3 and Army Painter. I'm not wild about Games Workshop's paints.

This is a great value, if you decide you like their paints.