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What to Start With for Warhammer 40,000

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As someone who recently got into the hobby, I have some purchasing regrets. Let me help you not have any.
Sections
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Necessities

The bare minimum items you need.

 
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These are what you need to clip the miniatures off the sprue. Included in the Paints and Tools Set as well as the Introductory Set.
Bandai Hobby Spirits Entry Side Cutter Sprue Nipper for Plastic Models - Red
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These simple brushes are all you will need for a while to begin your painting.
Fundamentals Short Handled Paint Brush Set
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Tamiya glue is top of the line at melting plastic together to ensure a solid connection for your minis.
TAMIYA America, Inc Extra-Thin Cement, TAM87038
 
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This set from GW includes a solid beginner collection of paint along with a brush and clippers.
Games Workshop Warhammer 40K: Paints & Tools Set
 
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The Introductory Set is the first thing I recommend you buy, including minis, paints, a brush, dice, clippers, and a few simple missions to run to get into the game
Warhammer 40,000: Introductory Set
 
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This magazine helped me out to pick my first armies and get a nice first painting experience with the two included models.
Warhammer 40,000 - Getting Started
 
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This tool kit set will get you everything you need to clean up your models to ready them up for painting
BXQINLENX 8 PCS Model Tools Kit Set
 
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This pot is valuable for thinning down your paints and cleaning brushes in between colors.
Games Workshop - Citadel - Water Pot

Later Expansions

Adding some more items to your collection

 
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A combat patrol from your favorite faction is the basis of an army, doesn't have to be Custodes.
Warhammer 40000 Adeptus Custodes - Combat Patrol
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If you're looking for a cheaper way to Warhammer - Kill Team is the way.
Warhammer 40000 Kill Team: Scout Squad
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These larger army sets are excellent ways to really ramp up your collection.
T'au Empire Kroot Hunting Pack Army Set Warhammer 40,000
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Sometimes you just need that one character to flesh out your forces the way you want.
Warhammer 40000: Blood Angels - Captain
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An airbrush is a fantastic tool and way to improve your painting skills.
PointZero Multi-purpose Dual-action Airbrush Set
 
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Wet palettes do two things quite well: keeps paint from drying out and thins it down with water.
Wet Palette Miniature Painting Kit
 
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This will get you two combat patrols and terrain for a game - great value for the cost
Warhammer 40,000: Ultimate Starter Set
 
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Hivestorm is the box to get if you're certain you want to get into Kill Team - including two teams, rules, and terrain.
Kill Team: Hivestorm - Warhammer