I should have mentioned, if you've never brewed before I recommend getting a few extract batches under your belt before you try all grain.
I have to respectfully disagree Denny. I started brewing all grain from day one except one extract brew in 1987. It was horrible tasting at best. When I decided to try my hand at brewing again (years later) I was convinced that all grain was the only way to start. I read relentlessly on the subject until I felt I had a better than basic understanding of what all grain brewing would be. So starting with 2 10 gallon coolers, a converted keggle, propane turkey fryer, carbon water filter, various items such as thermometers, hydrometer, strainers, hoses, ball valves etc etc etc.
My first beer was a saison and it was surprisingly "good". Good enough to drink and share for feedback. I know there is a larger upfront cost for the aforementioned items for brewing AG but for me I was determined to learn how to brew.
I can't speak for the OP, not knowing his budget or if this may be a passing fancy, who knows?
To the OP, my suggestion is to ask yourself what you expect from brewing. What are your goals? Do you see yourself excited to share your beer with people for honest feedback? Read as much as possible on the subject. Read posts from this forum. There are some very intelligent people here that bring different disciplines and perspectives that are priceless. I have learned as much if not more from reading subject matter on this forum as I have from reading books and magazines. Your biggest source of gaining knowledge will be from making unexpected mistakes and taking meticulous notes.
Good Luck!!