I'm new to all this but I jumped right in to all grain... I got a 5 gal mash tun with sparge arm and 5gal hot liquor tank from homebrewstuff.com. It works great! It held my temp within 2 degrees F for 75 min. I got > 80% efficiency the first time I used it, and it was way cheeper then any single 5gal tun I have seen out there. Shipping was flat rate at $7.95 which is also way cheeper then any other site. (I don't work for them or anything... just really pleased with the product) As long as you are not married to the idea of "all grain" I think this should work fine for any 5gal full volume boils. What I have done is use beersmith, put in my recipe for all grain, and when it tells me my tun isn't big enough, I just replace a few lbs of the base malt with DME, so I can mash effectively with the space I have. I'm currently fermenting 5gal batch a 1.090 OG beer I did this way with only 2lbs of DME. As I said I'm a rookie here so if any of the guru's out there think this is bad advice please say so!
Happy brewing.