Lots of good info above, not sure there's much to add. I'll just highlight a couple things to start out. Find a good flyshop near by and pray that it isn't an Orvis shop :d J/K but really find a nice fly shop, take all of your business to him rather than a big box store and you'll more often than not, be leaps and bounds faster through the learning curve. You might get free casting lessons in the yard of the shop, a trip to the local stream with the owner. Tips on local waters and how to fish them. Then someday fly tying lessons and on and on. I can't imagine how lost I would've continued to have been without the local fly shop I walked into with green gills 8 or 9 years back. Matt/PA was the man back then as well, and after he got me straitened out with all my newbie questions and quirks, he to told me "find a good local flyshop and make friends." All the rods mentioned above are good uns' just spend as much as you possibly can stretch on the rod. Is flyfishing addicting hell yeah it's a blast! I've been to some beautiful places and caught some fantastic fish. But whats really sweet about fishing with and casting a flyrod, a good fly rod is, when you're getting skunked that day. It's still a good day on the water practising and enjoying your casting. Flyfishing is a lifetime of learning. Get your hands on some books and start today. Feel free to ask away on here any questions that come up!
Mantis is right. I mentioned finding a local shop but maybe did dwell on it enough. Like my fly rod I purchased a couple fly rods ago. I was going to buy one out of Cabelas. I drove 25 miles to Pulaski to a fly shop we always stop in. They're much more helpful and knowledgeable than an internet connection. LOL Final result, the same rod and reel I was looking at in Cabelas was cheaper at the fly shop and great service to boot. I bought my last fly rod at Cabelas because the local guy didn't have a 4 piece 10 weight. I bought the reel at the local shop though along with the line, lines for my Alaska trip, all my leaders and tippet material etc.
