Kits vs. sets vs. individual components
If you've decided on a scale and gauge, it is probably time to go and get the actual train. You should decide if you want to buy a prepackaged kit or if you want to buy the pieces separately. Kits or train sets are great- you can often save a lot of money. But watch out- often times, certain companies sell train sets with less than acceptable quality. With kits you build youself, depending on your skills, the quality usually comes out to being better than prepackaged sets. If you know exactly what you want or what you'd like, go the individual way. For a bit more money, you'll get much better equipment.
Your train must run on track, like the real thing. There is a vast amount of products readily available, and I suggest you consider your choices very carefully. Track comes generally with three different rail head materials- Nickel Silver, Brass or Steel. NS is definitely the way to go if you can, and it also the most widely available. The main difference is that it will stay cleaner for a lot longer time- it won't oxidize quite as rapidly. Brass is a decent alternative, and steel is the worst choice if you're looking for consistent operation and cleanliness. Stay away from steel and brass if you can, as they are being phased out from the commercial market. Buy the necessary components to assemble the track plan you like.
Likely, while you're searching for track, you'll encounter "code" on the packages. Don't be alarmed- the number simply refers to the rail height, in thousandths of an inch. Code 100 is mostly used (HO scale) and is also the most widely available. Modelers use lighter rail (CODE 83, for example) if they want a more realistic look. The ties are often finer, amongst other details. Also, lighter rail is often used when modeling sidings.
If you want an engine or have decided on a trolley line, buy a loco that will make the curves on your track. Most 4 axle diesels can handle 18" radius HO curves, and 6 axle units generally require 22". Features of an engine to look for would be all wheel drive and all wheel electrical pick up. Flywheels help the unit coast over trouble spots, and they also help mimic momentum. For steam units, which are a bit more expensive, check with the sales rep to see about the curves and the features.
Rolling stock and car weighting
For cars, buy what you like. There isn't much to explain here, other than you should buy what you want to run. Some cars come in kit form, and most of these are easy to set up. You can sometimes also decide if you want metal or plastic wheelsets. Metals seem to run better but plastic is cheaper and quiter. When you buy a car, make sure that it is weighted properly. The HO formula is that for every inch the car is long, add a half an ounce, in addition to a full ounce. If the car is 6 inches long, add 3 + 1 ounces, to make it weigh 4 ounces. Add weight with lead sinkers or pennies. About 12 pennies equals an ounce. Glue it in the base securely, inside if possible.
You also will need a power pack. Talk to your hobby shop rep, as they know what is currently available and can get you exactly what you'll need. There is quite a variety available. Price is just as diverse. Generally, HO locos pull 0 to 12 or 15 volts DC at about .5 to 1 amp, but extra amps are better.