More than anything, ASK QUESTIONS. You can blow yourself up if you're not careful.
Definitely get a scale, a set of calipers, and several manuals. You'll also need a bullet puller like this one:
http://www.midwayusa.com/product/630...-bullet-puller to undo your mistakes.
I'd get a single-stage press to start out. In years of running commercial ranges and shooting in competition, EVERY time I've seen someone wreck a gun or tie one up in a match, they did it using ammo they tried to load on a progressive that they didn't fully understand. Learn the ropes on a RCBS Rockchucker and get a progressive machine later. You can always use the Rockchucker for loading rifle ammo.
Finally, until you really get your feet on the ground,
only use data that a powder maker or bullet maker has published online or in print. These companies have spent millions of dollars making sure that their data is safe, and that it is presented with the context you need. Entirely too many people online will post loads with typos or loads that lack the context you need to use them safely. (For example, 9 Major loads are meant to be used in pistols that have been built to withstand them. In a normal service pistol, they can destroy the gun and gravely injure the shooter and bystanders, but you don't always see that note with the data.) If you want to try a load you see online, check a printed manual or a powder/bullet maker's website first. If it seems too good to be true, it probably is. And if someone with a huge ballistics laboratory hasn't published that load, there's probably a reason.
Okie John