When I decided to build an army in the Warhammer 40k universe I had some concerns about the cost of the endeavor. However, I decided to go slowly and collect figures as I could and then spend as much time as possible on painting each one.
I've learned some valuable lessons from checking game stores and observing e-bay listings. It is possible to find the books you need at very low prices used and that's one big expense that's nice to get out of the way. You'll need the core rulebook and then the codex for the army that you wish to build. I'm putting together an army from the Witch Hunter's Codex consisting of the all-female Sisters of Battle.
Now when it comes to buying the figures be warned that just because it is on e-bay does not mean you are getting a good deal. I have scored some Sisters Repentia and Sisters of Battle on e-bay for a much better price than the cost new, but I have noticed that many sellers are actually selling their listing for the same price or more than the cost of the figure new from Games Workshop. So beware.
The next cost involved once you have the figures is painting them and adding terrain elements to the base. Once you decide the color scheme you can buy paints accordingly. It's also possible to mix them to create the colors you want and I've been doing that.
I have a long way to go to build up even a 500 pt. army, but I am enjoying the process.
Here are two Sisters Repentia that are ready to die for the Emperor. I consider these figures finished, but I am going to take the extra sand off of the sides of the base. When gluing the sand on I managed to affix a strip of it to my finger. That felt wonderful, let me tell you...