Check out some of the paintball forums online, tons of information. I'd reccommend you play at least once before buying a ton of grear, just in case you decide it's not for you. Plus you can get a feel for what type of player you are and get gear that will suit your needs.
The most important thing to buy is a mask. Get one that fits you, is very comfortable, doesn't give you fogging issues, and that you can see out of very well. You entire paintball life is through your mask (don't take it off!) so if you're going to splurge somewhere this is the place to do it. Try borrowing some from guys who have them, most will be glad to let you try them out.
For a first gun most guys go with a tippman 98 or some type of spyder. They're relatively low priced and can be modded to make pretty sweet guns. If you've got deeper pockets you can start off with a better/faster gun.
-Jade
PS - Wear a cup. Don't ask how I know.