I think all guitar players have a certain tone in there head that they want to hear coming out of their rig. There are a lot of ways to go about finding yours.
A good start is to check out some of your favorite players and see what they use. One thing to remember is how you play is more important than what you play through. Let's start with a guitar; do you want one guitar to do everything, or do you want several types for different styles? If you're like me, you will want several types for different styles. I play blues and I also play heavier rock, a fat Strat (Strat with a humbucker in the bridge, plus two single coils) will do the job in both scenarios.
The next thing to look at is an amp. For me a good clean tube amp that takes pedals well is perfect. Some players want a high gain amp, and that's cool. For me, my Marshall JTM45 head is perfect. my idea is to use pedals in front of the amp to shape my sound. My pedalboard is set up like this: Ernie Ball Volume pedal, split to Boss
tuner the other side is a Morley Bad Horsie 2 Wah, MXR Supercomp, Electro Harmonix envelope follower, Ibanez TS808, MXR Classic Overdrive, Fulltone OCD, Ibanez AD9 analog delay, Fulltone Choralflange, Electro Harmonix Holy Grail and a TC Electronics Nova delay. With this setup, I can cover any gig that comes my way. It took years to put this together. Cost is always a factor. My best suggestion is to get the best stuff you can afford as you go, and learn how to use each piece of gear.
With all of that said, keep in mind your tone comes from your fingers mostly. The best gear in the world won't help you if you can't play. This may seem obvious, but it's not. There are a lot of people spending valuable practice time reading reviews on Harmony Central and getting confused. Don't be that guy.
Mike O'Malley's instrumental power trio is called No Walls and their latest CD is entitled "World Abroad". He has been playing guitar for almost 30 years and graduated from Music Tech in Minneapolis in 1988.
O'Malley currently has 45 guitar students that range in all ability levels and styles.