Gotta ditto all the points made previously. Ketzer and Tardis know their stuff and their advice is solid.
Definitely do not look to start a collection as an "investment".
Stick to what you LOVE. If it's something you "like", be careful. Everybody falls prey to that temptation at times.
For example, I bought an original production item from the Rocketeer and briefly considered selling it for a while. I couldn't get the price I wanted so I kept it and I'm quite happy that it didn't sell after all.
However, I bought some minor items from the 2004 Punisher film (which I still "like" but don't "love") and I couldn't resell the items when my excitement for the movie dwindled. It was still something that I didn't mind keeping, mind you, but if I had plunked down thousands and then had to sell it for hundreds, that would have royally sucked.
It's good to be able to step back and view your likes and loves objectively and recognize what you likely might not feel so passionate about later on.
For starting out, just take baby-steps and get plugged into the MPF.
I would somewhat disagree on the point of avoiding places like the Propstore. Ketzer and Mike's points are completely valid but when you're getting started out, it takes time to get good contacts and the source you buy from can impact the value if you decide to resell. You WILL spend more buying from them and may not be able to make back all of what you paid but their perceived name and reputation does lend some stability to the value. It's just like an "official" CoA. Official CoA's can be completely wrong but yet they still give the associated item a perceived boost in value among many collectors. It may seem dumb but it is what it is.
Personally, I found that collecting screen-used stuff outside of my Rocketeer obsession is just a bad idea and simply prohibitively expensive for my budget. So, you've just gotta "salt to taste" and find where YOUR collecting hobby is going to go.