I'm going to echo what the other guys are saying. Pick a few patterns and buy materials for those. Next trip to the fly shop (or ordering online) do the same.
I buy from Cabelas and Feather Craft online a fair amount and have had great luck with both.
What kind of fishing do you do? What are some flies you use a lot, maybe in a couple different sizes?
If you have a fly shop near by, I would highly recommend going there and getting your hands on the materials before buying. For one, you SEE what you're going to get. And two, you can ask all sorts of questions about stuff you will encounter.