It depends on your choice of army. Most armies are available in metal but many manufacturers (such as Gripping Beast), now produce a good range of plastic figures. Plastics will work out cheaper for you and weigh less (but there maybe some construction required to put the figure together).
Once you've decided on an army then I'd look for those manufacturers that make models for that match your selection. It's then a case of deciding whether you want to collect the army piecemeal, ie a unit at a time or whether you want to buy it all at once. If you are buying in bulk then you may be able to negotiate a discount or the manufacturer may offer an "army deal".
If you are eager to get a force on the table quickly, then there is always the 2nd hand market.