Look into an all in one system, such as biocube or Nuevo. I think they are great. They look awesome because many of them are rimless or a bow front. A lot of people don't like them because the lack of customization on them. You can make changes to them there just aren't many. You can get all set up for under $500. Check out local reef fourms for used ones. A lot of people growout out of them. They are great to start with.
If you go the piece by piece route. Get a powerhead, heater, tank, sand, salt and live rock. Put it togeather and let it cycle them add a few fish. If you keep it lightly stocked and no coral or easy coral that's all you need. You don't want to overwhelm yourself at the start. A lot of people buy coral, LEDs, dosers, RODI units, controller, auto top off systems and a ton of other crap. All it does is overwhelm them and have them leave they hobby. Keep it simple and take it slow.