All good advice above. But, being the type of person who likes to write long, drawn-out posts with lots of links, here's what I want to add:
Consider building a layout and buying individual engines and freight cars instead of a "train set." Watching a train running around and around in a circle can get old really quick. Now if that train were running around and around through some woods, through a mountain pass, over a bridge or two, through a town...stopping every now and then to drop off or pick up freight cars...well, that's much more fun!

Seriously, it will add interest to your project. The key is to pick out a plan that will be interesting without being too overwhelming for a first project...
Atlas publishes a couple of books of N-scale plans:
Intro to N Scale Model Railroading and Nine N Scale Railroads. These trackplans can be viewed online
here. Ignore the prices for the track. You can get it a lot cheaper if you don't buy direct from Atlas. I highly recommend getting the books, though, because they also discuss construction techniques, tracklaying, wiring and scenery. Kalmbach also publishes excellent books on model railroading:
http://store.yahoo.net/kalmbachcatalog/model-railroading-books-model-railroading-for-beginners.html
(Click on Model Railroading, then click on Books for more lists.)
As far as structures (buildings) are concerned, there are lots of kits available. Visit
www.walthers.com and do an "advanced search." Walthers is a distributer, so they usually sell at MSRP; but they carry just about everything that is available.
Here are some online stores that sell N-scale equipment that I have delt with in one capacity or another:
www.trainworld.com
www.blwnscale.com
www.4nscale.com
www.nscaledivision.com
www.nscalesupply.com
Also, check out Spookshow International's
N Scale Locomotive Encyclopedia. It's a good source of information on the quality of various locomotives. Plus, it has pictures.
And finally, ask lots and lots of questions! There are a whole bunch of folks right here on The Gauge who are more than willing to help!