If you prefer instruction on more lifts, and less guidance on program and workout structure, consider buying one kettlebell, either 16 kg (35 lb.) or 20 kg (44 lb.), the Russian Kettlebell Challenge video and book of the same name. The kettlebell will be challenging at first but you will adapt over the first two weeks or so and may even be ready for a larger size within the first month or two.
Choose the 44 lb. bell only if you are an experienced strength athlete, please. Although I do not recommend it, you may also configure your starter kit with a 24 kg (53 lb.) bell.
If you are a healthy (ask your doctor) adult female and have $200, buy one 8 kg. (18 lb.) kettlebell and the From Russia With Tough Love video. The same provisos apply as with men - the kettlebell will be challenging at first but you will adapt over the first two weeks or so and may even be ready for a larger size within the first month or two.
If you are the above-described female but stronger than average, larger than average, have a strength training background, etc., consider getting the 12 kg. (26 lb.) bell instead of the 8 kg. The 12 kg. is a slightly scaled-down version of the 16 kg. bell, made of epoxy-coated, black painted cast iron and possessing a thick handle. The 8 kg. bell has a much thinner handle and a rubber coating, making it easier and safer for a novice to work with, but also presenting the possibility that it won't be heavy enough for you within a few months.
I already own my first kettlebell - what should I buy next, another one of the same size or a larger sized bell?
The usual guideline for adult men is building your collection to include one each of the 16, 24, and 32 kg. (36, 53, and 70 lbs., respectively) bells. After that, start over from the bottom, working on your second set. Two kettlebell work can add variety to your routine and it's usually done with two bells of the same size. (You can and should start two bell work, however, with two different sized bells - you'll hold one between your legs or at your side while working with the other.)
For most women, the guidelines are the same but one notch lower - collect one each of 12, 16, and 24 kg. (26, 36, and 53 lbs., respectively) bells then start working on duplicates. If you started with the 8 kg. bell and still feel it has a place in your workouts, then make your collection 8, 12, and 16 kg before adding seconds.
The exception to this rule is the person who is focused more on coordination and endurance than on limit strength. It is perfectly possible for a male distance runner, cross-country skier, or even a martial artist to do all their work with 2 16kg bells and never use a larger size. It's equally fine to stop with two 24 kg. bells, but the physical and psychological benefits of moving a heavier weight (increased tension and making the previously-used bells seem lighter, respectively) should not be underestimated. My preference is for everyone to own the heaviest bell they can work with, even if they only use it once in a while for a few repetitions.
What about the 40 kg. (88 lb.) bell?
If you can handle it, by all means, go for it! My collection was built up in the following order: 16, 24, 32, 16, 24, 40, 32. I had the chance to try cleaning the 40 kg. bell with Rob Lawrence at Maxercise in Philadelpha, PA, and found I could do it for reps right away, so I followed the logic that it is better to have the heaviest weight you can handle before getting duplicates of lighter bells.
Anything else I should get?
Power To The People!, also by Pavel Tsatsouline, is considered by many to be his "core" book, one that puts forth the principles that are built upon in the other books. Many people alternate cycles (2-4 weeks) of kettlebell work with cycles of the barbell work explained in PTP. A video is also available but I recommend the book for kettlebell users.
When you feel in need of further stimulation, consider any of the other kettlebell resources on the Dragon Door web site: From Russia With Tough Love for men if you don't have it already, and Pavel's More Russian Kettlebell Challenges.
How can I buy kettlebells and related materials?