If you're strong, and don't mind lugging around an anchor of a CO2 tank, you could go with a steel one... I had a chance to compare two 5# tanks a few weekends ago. One steel the other aluminum, both full... The steel tank was easily twice the weight. If you eventually want to fill up the CO2 tank less often, or have more kegs (don't we all?) then you'll want an aluminum 10# or 20# tank (or one of each)...
Keg Connection has good people working there, that will help you out. Although they have yet to ship me a replacement swivel nut (they sent me a 5/16" barb, but nut for 1/4", I wanted the 5/16" setup)...
I like their red gas line (5/16" ID) since it's double-wall. FAR better than using the PVC reinforced stuff (PITA)... If you decide to get a manifold from them, you can get them to replace the barb with another MFL connection, so that everything is threaded (only way to go IMO)...
A 5# CO2 tank is fine to start with, since you should be able to carbonate, and serve, several kegs (5 gallon) before needing to get it refilled. Just be sure to pressure test ALL the connections before you start using it. This includes the keg seals. Last thing you want/need is to think everything is good, walk away, come back a day later and the CO2 tank is empty. When I installed the bulkhead in my fridge, and connected everything up (CO2 tank outside, to make more room for kegs) I tested it under pressure for about three days (different things on/off to ensure no leaks). You simply turn on the tank, regulator, fill the system with CO2/pressure then turn off the tank and check the gauges X hours later (12-24) to see if you still have pressure. If it remains within a small margin (offset for temperature changes) then you're good. Otherwise, start checking for where it's leaking from. The more complicated the system (more connections on it) the more difficult it could be to check. I do like how Keg Connection puts shutoff valves on their manifolds, and regulators. Makes it easier to hunt down the leaking connection/node...
BTW, don't be too surprised if the kegging hardware list grows to more than you expected. I figured one 5# tank and a pocket charger would be a good start... That lasted maybe a week. I now have one 5# tank, two 2.5# tanks, two 20oz tanks (paintball style, with a regulator from Keg Connection), and one 20# tank... All, except the paintball style, are aluminum. I have a 3 port manifold inside the fridge, so I can carbonate/serve three kegs at the same time. I'm using 2.5 and 3 gallon kegs right now. Once I move, I plan to get/build a keezer and also use 5 gallon kegs. I have one empty keg right now (three are in the fridge, full) and another on it's way (both are 3 gallon) so that I can completely keg the next batch when it's ready (3 weeks in primary as of tomorrow).
I would advise having a spare set of O-rings on hand, as well as some keg lube. Always plan on having at least one O-ring set on hand. That way when you need to change them, you can do so right away and not need to get to the LHBS, or order them...
I would also advise hunting for a fire extinguisher repair/reconditioning company in your area. There's one near where I'm working (in Quincy, MA) that charges very little to fill up tanks. $10 for a 5# tank, $18 for a 20#... Most welding gas places will want to charge you ~$20 to swap out a 5# tank. If you have a new tank, why swap it with an older one? If you go in with an aluminum tank, there's no guarantee you'll walk out with an aluminum tank. You have 5 years before it needs to be certified/stamped again. If you have a spare (you should by then) it's not an issue to get it done. If you decide to get some paintball gun style tanks, you can get those filled at most paintball stores for about $5 (the one in Framingham,MA charges that much). If they also have a compressor, you could get them to fill your larger tanks.