Cost is what kept me from getting into 40K proper.
Each vehicle or squad of troops can cost $C30-50 (so...what, 20 - 35 Euros?), and you need several of these just to field the smallest "army". If you want some extras to swap in and out of your order of battle, it's that much more to buy.
The basic game usually comes with two sets of models. The last version I ever saw was Space Marines and Dark Eldar (awful looking models, in my opinion, but Games Workshop didn't ask for it) but there may be a more current version. You could probably find a fair bit of them floating around on Ebay or even just being sold locally by folks who aren't playing any more.
What particular army you'd want would depend on how you like to play - some are better suited for melees, others seem best used for stand-off shoot-'em-ups. And, of course, some armies of equivalent point value need more troops (thus money, painting time) than others...
If you can find a few used editions of Games Workshop's "White Dwarf" magazine, each usually contains a battle report - a few of these will give you a taste of how each army operates and the number of models you'd need. Should be in local gaming stores and any German equivalent of "Chapters" or "Amazon".
I liked Necromunda because it was a skirmish game - essentially, a gang of eight to twelve guys on each side. It only cost around $50 to field this group, and the limited number of models allowed each to be a character with his/her own specialties and weapons. Sadly, the game was only in production for a sort while, though you may be able to find it on Ebay still. Somewhere in my basement I've got about four-five gangs worth of models in a box. Perhaps I'll post some pics of them sometime.