Haha don't worry, try the cheaper ones first I reckon, they don't give as nice a feel, but you'll waste a lot of pastel when you first start learning to layer, and the decent ones are bloody expensive!!
I work in Rembrandt soft pastels (land scape selection), Franchville medium/hard pastel squares, Omega (assorted greys), CarbOthello pastel pencils, and Derwent pastel pencils. I'm also eyeing off a set of Fabercastelle pit pencils, which are apparently beautiful to use.
As for paper, I feel safest working on Canson Me-Tientes, which is probably one of the cheaper varieties out there, but I enjoy working on it as it has a fantastic tooth which can take many layers (essential for my method of working, building up to about 20 layers in some places!) and is easy to clean up after for packaging, as it holds onto the pastel quite well. I've had a go on velour... HARD, it doesn't hold the pastel well at all and it takes a special kind of person to be able to get details onto it - I'm definitely not special enough haha!
Pastelmat is also a good choice, it's similar to the Me-Tientes ;)