Welcome to the forums, and the money pit... I mean hobby
I just started this year as well so thought I'd weigh in too since I was in your place recently.
Just like what AutoBatJazz said, go after what you like and you will be golden. But also keep in mind space! I have expanded a lot recently and it is hitting my limit atm (gotta go get another couple posts and shelves to expand!).
As nbr3 said, I'm sticking mainly to 1/6th scale because those 1/4th are huge (and the wife would prob kill me with our lack of space atm :P )
I thought I would be sticking to just the fine art statues, but recently decided that I would just get nice pieces of my favorite characters regardless of the medium, so now I have several anime pieces which are all small plastic figurines.
Also, can't remember who gave me this advice on here, but make a list of what characters you would like to get and look through people's awesome collections on here (collector's corner at the bottom of the forum) and see what is out there, and make a list of what to keep an eye out for. I have made a spread sheet of stuff that me and the wife want in the future to keep track, and ebay allows you to set alerts for specified searches so you can get an email/phone notification when a particular piece is listed.
Other than that, make sure to set yourself a budget! And feel free to make offers to people on ebay, I have had a lot of luck haggling the price down a bit on different pieces.
As for the sideshow stuff, there are a couple of their pieces that I really want, but are all going for $800+ now on ebay and that is a bit much for me considering the quality and detail/poses, so doubt that I will ever get my hands on them (sorry Gambit and Rouge
). There are some nice sites that collect the going rates and the original price so that you can compare and figure out if it is worth it to you. I recently found this one:
http://www.toytracker.net/weta/index.html.
If you want to see my fledgling collection it is over at:
http://www.statueforum.com/showthread.php?t=144653.