Scale - The first thing to do when you decide to build a model railroad is to determine what scale your prefer to model. Visit the page on Model Trains Scales to find out more about the different scales and how to choose one.
Power - How do you want to operate your train(s)? Standard analog DC, DCC, or battery-operated)? The main advantage of DCC is that you can operate multiple trains individually from one power source. I would recommend DCC if you are really wanting to pursue a long-standing relationship with this hobby. It's a little more expensive at first, but cheaper in the long run, and much easier to wire if you plan to operate more than one train.
Display - How do you want to show your trains? You may wish to just do a small diorama, or a small switching layout for starters. Do you want a small corner layout or a shelf layout? Do you like a lot of scenery, mountains, waterfalls, forests, bridges, etc. Do you want more than one deck? The amount of space you have available will help with your decision here. One word of caution: Be careful not to "bite off more than you can chew", as the saying goes. If you plan too big of a project, especially at first, you may get frustrated with the amount of work involved to get it going. This is not supposed to be frustrating - It's supposed to be fun! You can always start small and expand later.
Of course, you don't have to decide all of that right up front, but it's good to be thinking about it. Don't get so mired down in the decision-making that you never get started. Even if you don't have it all figured out in the beginning, just go for it!
Once you have thought about some of these things for a few minutes, then you are ready to buy your first train set. And here they are - right on this page!
Also see the Locomotives and Equipment Categories on this site. Remember, you don't have to buy a whole train set to get started - You could just buy the individual items - locomotive, railcars, track and power supply.
Learn more about themes, locale, era. and settings for your railroad.
Learn more about types of railroad equipment.
Learn more about track planning and layout design.
Learn more about powering your trains.