Buy as much as possible from your FLGS, as it supports them and gives you a place to game.
You can also find great deals at Amazon or Ebay too -- though again, buy what you can from your FLGS
You also should think about how you want your army to go. Do you want to go footsloggers, or mech. Try a few games with friends using proxies -- yes a shoe will work for a battlewagon in that case -- to get a feel for the army. Find out what you like before you start spending lots of cash on an army.
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