I recommend taking a beginning fly tying class and attending a TU or FFF meeting where they may have fly tying demonstrations to learn tying techniques and use of various materials. If that isn't possible there are a lot of fly tying DVD's available; I'd recommend those by A.K. Best. You can also find lots of YouTube fly tying demos. Go to the FAOL ?Beginning Fly Tying by Al Campbell? and tie the flies presented in the lessons.

Don't go out and buy a bunch of materials to tie some fly that you've seen on a DVD or YouTube; use what you have to learn the various techniques to tie in different materials for tails, body, wings, legs, etc. If the colors don't match don't worry about it until you figure out which flies you need to do the type of fishing you like to do the most (dry flies, nymphs, streamers) and the species you fish for the most.

If you like to fish for pan fish and bass get some foam (cheap in various colors from any craft store) and tie up some beetle, ants, and gurglers; have a ball.

Starting materials:
Black Thread, White thread; other colors such as tan, brown, rust, olive, etc. when you determine what you will be tying the most of.
Peacock Herl: good for bodies on foam flies, Griffith gnat, etc.
Hackle: Grizzle, Brown, White (split with a friend to economize)
Tail materials: hackle fibers, deer hair, moose hair, pheasant tail feather, soft hackle for streamers, deer tails in various colors for streamers (you can dye tails any color you want)
Body material: box of dubbing of various colors to start with. Pheasant tail feather. Foam
Legs: black and other color rubber (can get from some toys), moose hair (base after using tips for tails)
Ribbing: use copper wire from electrical wiring, Christmas tree lights, etc.
Wing Case: turkey tail feather coated with flexament
Wings: tips of hackle, guard hair (remove under hair) from just about any animal (bleached elk body works well for a lot of flies)
Head cement or Sally Hanson ?Hard as Nails? clear nail polish

Concur with comments recommending you contact hunters for tying materials.
Craft shops have lots of materials you can use for tying, buy a little to learn how to judge quality and if it works for you.

Best of Luck,
John