I started by buying an Oly weight set and a pair of Oly dumbbell handles. My wife found me a cheap bench, and I built myself a squat rack and cable station. The plans are posted in this thread:
Anyone Interested in Homemade Equipment?
These days I'd check Craigslist for weights and benches, and even a power rack. You'd be surprised at what people sell this stuff for. I just saw a power rack and 400# of weights listed for $200, and I bet the guy would negotiate that!