1) Buy a 10 gallon or larger cooler, add a ball valve (search for a thread on here, or go to one of the supply sites and order a kit) and a bazooka screen, and you have a mash tun for roughly $100
2) Make sure you can do full volume boils in a reasonably sized pot. I have the turkey fryer kit that Target sell which does the trick nicely.
3) Get a wort chiller. Immersion are simpler to use and largely cheaper too. I have the 25ft stainless steel one from Midwest and it works great.
4) Buy a couple of all-grain kits for your first few goes. You don't need to be messing with recipes from the get-go, its easier to get something tried and tested and brew that.
5) Don't be afraid to do things "wrong" the first couple of times if it means you can do something important like hit mash temps or sparge volumes. There is definitely a difference to be had when you can hit all the parameters on the nose straight away, but don't panic if something doesn't go right first time.
6) Have fun. It's definitely a more rewarding experience brewing with grain than extract.