What do I need to get into Warhammer 40K?

Get yourself down to your nearest Games Workshop, they should have everything you need.

Assuming you wanted to do space marines and you don't have any models yet I would start with a battle for maccrage set it comes with dice rule set and figures I believe 10 marines Including special weapons and some tyranid also there is a maccrage set that has paint included if you need that as well. I would suggest using citadel paint sold by games workshop as it is made for the models but if you want a bit cheaper try out some acrylic paint from a hobby or craft store Michaels should have it. Personally I dont like oil base paints too thick and shinny and if you screw up it aint coming off.

for painting this is a good crash course step by step process

1. Prime models

use a can of spray primer to coat your models white or black. White gives a very highlighted color to anything painted over it black gives deep shadows good for chaos marines and such I like to do it while still on the sprues(the plastic mold the pieces are attached to)

2. Spray on base coat

next I spray on a base coat of what ever the basic color will be if you are using the ultra marine scheme use a lighter shade of blue.

2. Cut out and clean your models

Clean off the paint and mold marks from the areas that need to be glued together.

4. asemble models

Any generic super glue it will hold fairly well especially on maccrage models cause they dont have a lot of pieces when you get to more advanced models use Zap A Gap if you can find it. For this part of assembly leave arms and backpacks off(come to think of it thats all there is to attach to the Maccrage space marines so for maccrage models leave this out) Leaving these parts off lets you paint the chest a lot easier.

5. Paint major details

Paint on the main details such as the knee pads the shoulder pads(I find it easier to paint the rim of the pads first then paint the indented part of the pad that way if you mess up with a unsteady hand it gets painted over anyways) head color if you wish the eagle on the chest and the gun.

6. Glue extremities in place

Glue on the arms and backpack as well as the gun(with exception for maccrage models you will have to cut the handle off the gun so it will fit in the models hands)

7. Extra detail

Paint any extra details you wish the eye color for example and the purity seals

8. drybrush

This is optional but I like to dry brush my models it adds extra realty to the models to do this use a brush with frayed bristles or wide bristles dip in silver color, boltgun metal if you are using cididel colors. Wipe most all the the paint off on a paper towel then lightly brush the raised surfaces of the marine.

Thats pretty much it if you want more painting help check out games workshops black gobo archives its their E Zine that they publish its free and they offer a lot of good painting tips. In addition once you get the hang of the game with the models you have pick up a codex for your army they have more detailed rules for the army and it is good to have on hand. lastly talk to some one at a local hobby store who is knowledgeable of warhammer they can be your guide to find out what you need.