There are some good deals out there on ebay--- but the quality can vary widely, and to a large extent you get what you pay for. I think ebay might be a better option for someone that has tied a while and knows exactly what they want--- and has some idea of the value of items compared to prices elsewhere.
Where abouts are you? And what kind of fish do you want to chase? If you're interested in getting started in tying, there are orgs like TU with local chapters and FFF with affiliated clubs that have beginning tying classes, and that is an excellent way to learn, get a chance to tie some basic patterns, often with materials provided, and you'll get hands on instruction. Here are some links to see if there are any nearby:
Trout Unlimited: Council/Chapter Search | Trout Unlimited - Conserving coldwater fisheries
Federation of Fly Fishers: Locate a Club
The link Axle posted is for a materials kit (no tools and vise). Although it looks like a lot of materials, it might be tough for someone just starting out to figure out what to do with all of the stuff, and if you wanted to tie some basic patterns, like a Gold Ribbed Hare's Ear or Pheasant Tail Nymphs, Woolly Bugger, you may not have all the stuff you need for them.
A better way to go might be to contact an org or local fly shop near you to find out if there are any classes coming up, and get a materials list for the flies they'll be tying, and buy a basic set up (vise tools) and materials for a couple of specific, beginner patterns.
There are a number of ways to go depending on your budget, including kits, but the less expensive ones tend to come with poorly machined 10 dollar imported vises and a scattering of materials. You can find some kits that include a DVD, and listing of 12 or so fly patterns that the kit is designed to cover. You won't be able to tie a ton of each pattern, but it might be a way to go if you've got a budget of 50 bucks or so all in for everything and want to give it a shot.
In the long run though you'll probably want to upgrade the vise etc pretty soon, and buy more than just swatches of materials, so you might want to consider spending a bit more upfront---
Decent quality "beginner" vises will run from 25-30 dollars for a used Thompson Model A from the 1960-70's on ebay or craigslist, to 50-60 dollars for something like a new Griffin 1A or 2A. And quality new vises that will last a lifetime run 120-180 depending on bells and whistles, with many used ones can be found for less and are good buys, again if you know what to look for and can compare with retail prices for the new ones.
Tools figure 20-50 bucks depending on how many and quality, but these will also last a lifetime and better than typically included in kits.
Materials and hooks, figure 20-30 bucks for a couple of beginning patterns.
(You'll be spending this in short order even if you got a kit.) The materials you get will last a long time, and you'll be on your way to building up an inventory of stuff to tie patterns you'll actually be using on your waters.
If you want to throw out a rough budget, and what you'll be fishing for, -- whatever it is, I'm sure folks can suggest specific stuff to consider based on their experience.
Good luck, keep asking questions as they come up. You'll get a lot of good advice.