I'll 2nd Larry's recommendation-- Charlie Craven's book and website are great.
As far as buying materials, the best way to go is to buy them in person from a local fly shop if you have one near by--- let us know where you are maybe someone can recommend one if you don't know of one near you. Folks at the shop can help you select materials and give you a few pointers on tying them-- and even better is that you get to see and touch stuff before you buy it.
If you don't have a fly shop near you, the next best thing is to buy stuff online from a fly shop with a 1 -800 number-- so you can call and ask someone that ties questions if you're confused and get their recommendations for materials. I think buying online from a fly shop would be better than a big box store (where the customer service reps won't have a clue about tying) or taking a **** shoot with someone on ebay selling a bunch of assorted "stuff". The price for comparable quality material will be the same or very similar in most cases.
There are a number of good places to buy stuff on-line, with decent prices and helpful staff including:
Stockard JS Fly Fishing: Rod Building Supplies, Fly Tying Materials
( extensive list of materials, and informative catalog)
Feather-Craft Feather-Craft Fly Fishing | Fly Fishing Rods, Reels, Waders, Flies, Fly Tying Materials | Sage Rods | Simms Waders | Since 1955
(extensive list of materials and informative catalog)
Hook and Hackle Hook & Hackle Fly Fishing Tackle, Fly Fishing Supplies, Fly Tying Supplies and Fly Rod Building Supplies
(good prices on the basics and house branded items)
and many others.
I'd start out by picking out materials to tie 2-3 basic, proven patterns that are pretty easy to tie, will teach you a variety of good basic techniques, and are proven fish catchers.
As an example for about 30-40 bucks you could get a bunch of materials to tie and bunch of these:
Bead Head and regular weighted Black and Olive Woolly Buggers size 8 (on a 3 or 4 extra long streamer hook)
Bead Head and standard Pheasant Tail Nymph size 14 (2 xl nymph hook)
Bead Head and standard Gold Ribbed Hare's Ear size 14 (2 xl nymph hook)
and still have a lot of basic tying material leftover to use on other patterns or the same flies in other sizes.
The tie a fly kits that big Cliff mentioned are also convenient-- the down side is that they run 15-20 bucks or so with only enough hooks/materials to tie 12 flies or so.