I started when I moved to the UK, coming up on... 9 years now I think. I'd only been here about a month, and the couple of friends I had made at that point were interested, so we all waded in at once. One of them went Tyranids, one Eldar, and I went Tau. Sadly, the Eldar player stopped not that long after. But the Tyranid player and I are still semi-regular opponents.
As for my first purchase, it was a box of Fire Warriors, and an Ethereal. Those guys have all been in every game I have played with my Tau for all those years. First as a normal Fire Warrior team and an Ethereal, and now as his Honour Guard.