I'd buy the basics first...like teaparties or whatever shoes you want, blouses, and petticoats. Because no matter what style you're in, you're gonna need those.

Start with a dress you love, build an outfit around that. Just make sure not to blow all your money on a few dresses and not have any left for blouses, pettis, socks, etc. Keep in mind that almost everything will be variable on whether you want to be a sweet, classic, gothic, punk, etc. lolita. Certain shoes, styles of tights/socks, and blouses are really more appropriate for certain styles.

A nice petti is a must have, the most often recommended are the Malco Modes offered at Candy Violet, otherwise known as Malco Modes 582 and Malco Modes 580.

If you want to shop second-hand, instead of retail (which can be expensive and drastically limit your options), good places to begin hunting are Alice+Fururun, Tokyo Alice and Closet Child, as well as the egl_comm_sales, which is a LJ community that has (mostly Western) lolita second-hand sellers. The comm_sales has the widest selection available at any given time, but it can also be risky based on who the individual seller is.

Another good option, both for basics and for dresses, is taobao, a network of Chinese stores. IT often scares away new lolitas, but it's a great way to save money. You have to use a shopping service, but it's usually worth it. http://hellolace.net/shopping/where-to-buy has a great rundown on good taobao stores.

Some of the hardest things to get second-hand are socks, to which most girls will point you towards sockdreams. Cheap prices, free shipping, American company, with an unbelievable variety and a lot of very ethical/sustainable options, if that's something you care about.

If you have any idea as to which particular style you're interested in, we might be able to give more specific advice.