I threw myself in at the deep end by trying to create my own recipes and switching to all grain at the same time but my advice would be to keep the first brew very simple, possibly a SMASH (1 grain, 1 hop).
Unless have have a large airtight storage area then try and buy grains that would be used up in your next 3-5 brews. If I order 20kg grain then roughly 15kg will be base malts. Slightly more expensive but you will learn quicker which malts you prefer, Marris Otter, Munich Light, Munich Dark, Pilsner, Vienna, Pale Ale etc will all give you a different taste and that's just the base malts...
Is there a certain type of beer/ale you are trying to create? I like all types but if you only like lighter hoppy ales for example then this will narrow what grains to order and which recipes you should consider. If you have any commercial beers you like then chances are there are many online clones for you to try.
Finally try and get the biggest pot you can, mine is a 25L brew pot with ball valve tap etc but I wish I ordered the 30L version which would still be suitable for stove top. Get Er Brewed are very cheap for grains and a good service, The Malt Miller is more expensive but their range is huge and again great service.