For info on rolling your own kit (you’ll do better than buying the average pre-rolled econo kit):
[url=http://www.flyanglersonline.com/flytying/kit/:47d8b]http://www.flyanglersonline.com/flytying/kit/[/url:47d8b]
For info on getting started tying:
[url=http://www.flyanglersonline.com/flytying/beginners/:47d8b]http://www.flyanglersonline.com/flytying/beginners/[/url:47d8b]
Buy the materials as you need them for each lesson in the beginner’s tying articles that you’ll find under that second URL above.
I started with one of those “Deluxe” kit from one of the big name fly tying companies. Man, what a huge waste of money!
The kit didn’t include the materials called for in the patterns/instructions that came with the kit! Sheesh!
Use the info here to guide your tool and material choices. Plenty of sponsors around here sell very good materials and the basics are likely also available locally.
Very small quantities tie a lot of flies. Yeah, it looks odd to buy a piece of fur only a couple inches square, but you’ll soon learn that can tie a LOT of flies.
Just make sure you have the materials the patterns call for. Learning when/why/how to substitute can be tackled later.
If you can find a local tyer to show you a few basics, you’ll gain years of experience overnight. I found a local fly fishing club that has tying lessons. It beat the heck out of that mismatched “Deluxe” kit and cost less too. 
One of the first things they did was teach us the “jam knot” (i.e.: how to tie on your tying thread)…then told us to practice it a HUNDRED TIMES before the next class.
Just tie on, wrap a couple more times, tie off, snip the thread…repeat 99 more times.
If you use a long shanked hook (like a streamer hook) you can tie on/off several times on the same hook before you clean it off and start again.
It sounds like a silly exercise but it ended up being a huge time saver. Some of the folks in the class didn’t bother and you could see the difference.
[This message has been edited by Thwack (edited 25 February 2006).]