Depending where you are and what you expect to fish for, I would start off with a 6 weight rod for trout or an 8 weight rod for beach fishing.
Don't buy too cheap a rod as it can be hard to cast with. Get together with a friend or neighbour and try their rods to see what type of action you will enjoy. I have found that nice rods can be bought in the $150 range. The TFO Signature series rod is often mentioned as a good starting rod, but I find it a bit stiff to cast. I bought a Fenwick HMX when I started and I still find it pleasant to use. There are others, such as Echo, Redington, and Asmundson, that I have not tried. Try them your self before you buy, or go with someone that you trust and let them try the rods. Go to a good fly shop to look for the rods, as they will let you cast them on grass before you buy them
Spend some time looking at reels. As has been stated, for trout fishing the reel just stores the line. If you are going beach fishing for salmon, you will fight the fish from the reel. Look for a reel that is salt water friendly.
You will probably purchase a few lines for each weight, floating, intermediate, sink, sink tip, etc. You will want the most used lines able to be put on the rod without a lot of fuss. This can be done by having separate reels, or buying a reel with a cassette system. You may pay more for a reel with cassettes, but it will be less in the long run. Here, the Snowbee XSD or the Grey's GTX are ones to look at. The Snowbee comes with six cassetttes and, I believe, is in the $150 range. Dragonfly also makes a reel that takes cassettes. If you can find one used, the Dragonfly 355, 375 and 395 were good starting reels. They were graphite and come with cassettes. They sold new for about $80 and still sell for that used.
Take your time, talk to people and plan out your purchases. This may save you from having a mish-mash of different equipment, and will result in your having better quality equipment from the start.
