Had a brief scan through the other replies in this thread, but I'm really tired so didn't read them properly, so apologise if what I say is just a repeat!
Basically, if you are just starting out then first ask yourself how much you actually enjoy the game. This may seem weird, but if you are already hooked, then you'll want to get yourself something that’s going to help you improve as fast as possible, that’s as close to your budget as possible.
I've been playing for about 4 years now, and can only wish that I'd started out with clubs that would have helped me learn the game faster back then.
I did notice that a couple of people mentioned lessons; this is a must, even if it’s just one or two. The last thing you need to do is go out, spend £200 on a set of clubs in a regular shaft only to be told that your swing speed is too fast for reg's. This happens to a lot of beginners I have played with, they have developed relatively fast swing speeds, that aren't out of control, and been playing with clubs that aren't suited to them. So get that bit assessed, then go out and find yourself a set of Callaway X-14's.
The Callaway's are fairly old now by standard, but still widely regarded as some of the best clubs around, be it for golfers of pretty much any standard. (I had them at a HC of 22 down to a 9, and only changed them to get something a little more modern)
They are easy to hit, have a nice chunky head so you can learn consistency and are really forgiving. Remember that as a beginner or higher handicapper you’re going to improve fast, so you'll need some equipment that is going to keep up with you rather than changing clubs twice a year!!
So, get yourself a set of Callaway X-14's, in my opinion best clubs to start off and improve with, once you get down to a 15 or lower change to Mizuno MP60's - these are fricking AWESOME (I have a set now) and you can shape shots either way with such a wonderful feeling of consistency.
Graphite Driver and 3w, can't recommend Ram enough for the higher handicap or even lower handicap players who are on a budget as they are an absolute steal! Also highly recommend a hybrid 3 / 4 or even 5 iron as they will allow you to munch your lower irons easily

Get some lessons!
You'll soon be banging it around in the 70's
