I've been looking into the same thing, and depending on your goals you might benefit from the research I've done so far. So first, let's start by being honest with ourselves. You are totally new to weight lifting, so you want these two things down first:
- A good beginner workout that will keep you motivated. Both Rippetoe's Starting Strength and Medhi's Stronglifts 5x5 programs are excellent programs.
- You need to know about proper form or you will hurt yourself. No matter which of the weight programs you start with, get Rippetoe's Starting Strength book. It has everything you need to know about technique, and how your muscles actually work.
- Are you ever going to get into Olympic lifts like the Power Clean or the Jerk and Snatch (look them up if you aren't sure)?
Starting with basic strength training: Both Rippetoe's and Medhi's strength programs will have you using slow compound lifts while you are getting all your beginner gains. For this purpose, just about any set of weights will work. Now, Rippetoe's program has you doing power cleans. In order to pull that off you need a bar where the sleeves rotate so that the weights remain stationary and you aren't killing yourself with their momentum.
When you are just starting out, it might be a good idea to get your starter set using the advice in @Greg's answer. In the beginning you just need to start moving iron. It will be a bit of time before you start maxing out what your starter set can do for you. I personally have done this with my gym subscription, and am looking for the home gym now that I'm totally serious about this.
Keep the following things in mind:
- How much space do you have? Your bar is going to be 7-7.5 feet long, you need a rack, bench, etc. You'll need enough space so that the bar doesn't get caught on anything and you can lay down on your bench, etc. 10'x10' or better would be ideal, but consider 8'x8' a minimum.
- How high is your ceiling? Some lifts like the Overhead press require that you have enough room for you to stand with the bar fully extended above your head along with the plates. Assume you would be using the full sized 45lb plates in your planning. Your equipment (like a power rack) needs to fit.
- Where are you keeping your plates? You can stack them up next to your power/squat rack, but in your scouring for gear a good plate rack or two will make your life easier.
NOTE: if you have any aspirations of doing Olympic lifts consider that you would likely need a platform which are usually 8'x8'. You can make your platform, but your power rack does not sit on it. Make sure you have enough space.
More advanced strength training and olympic lifts: When you start moving heavy iron, or you need to do some of the advanced olympic lifts your first bar just isn't going to be up to the task. It will probably bend and and warp will set once you've maxed out what your bar can do. It's at this point that you need to do some research on the best set of equipment.
When you are at this level, you really do need to purchase good equipment. There are a few things to look out for:
- The good Olympic and power lifting bars use PSI ratings. Good PSI ratings are 155k and above. See http://muscledriverusa.com and http://rougefitness.com for places that list the PSI ratings. Your Pendlay bars are at about 165K PSI and there are a couple at Rougue that are at 215K PSI. According to Eleiko's marketing info you want a bar in excess of 195k PSI rating if you are dropping the bar (really heavy power cleans and dead lifts)
- Bearings vs. Bushings: Bearings need more care, but are necessary for those Olympic lifts. Bushings are durable but the sleeves don't spin as freely. If you are doing power lifting just get the bushing bar.
- Bumpers vs. Iron/Steal plates: No matter your taste, it might be good to have a couple bumper plates for your dead lift or barbell rows. Basically, bumper plates are the same diameter and vary by thickness. They are also designed to cushion the blow when you drop the bar. Your warmup sets won't be at 135lb, so a pair of 10lb bumpers and a pair of 25lb bumpers would get you the right bar height for your warmup sets.
- Word about bumpers: They are not all created equal. Some bumpers like the Hi-Temp bumpers at Rougue may vary by as much as 10% at the lower weights. Others are very precise (like the Pendlay bumpers or any certified bumpers).
- Power rack will be essential later on. You'll want one that is load rated at 1000lb or more. You may not be lifting that much, but you don't want your rack to fall over because you accidentally nudged your squat rack when it was loaded for your 500lb squat. (It's possible! dream big)
Assuming you pay for new equipment you can get your home gym for about $2500 with a good bar, bumpers, power rack, weight racks, a bench, and chalk.
I'd recommend starting out with a beater set while you are still testing the waters. Spending a couple grand on something that just takes up space is a bad investment. Even if you bought a basic set from Amazon you can get a 300lb set of barbell and iron plates for about $300 USD. If you stick with it, you will outgrow that set. By then you'll have a better idea of the type of equipment you really need.
Above all: Use it! And have fun.
