Hey apelly,
I'm not an experienced ham so my info probably won't be all that useful compared to what experienced hams can share but I'm on similar track as yourself - trying to figure stuff out.
When confronted with the question of "what bands do you want to operate on?" my answer was initially, "well, all of them, so I can figure out what the differences are and what is most useful and enjoyable". That led to being initially intrigued with an all-band, all-mode Yaesu 991 which still looks interesting. But after thinking about it for a while I decided to start with VHF and UHF. I happened to have had a Baofeng HT (from a couple years ago that I had never used) which operates on both VHF and UHF and while not super exciting it provided some good learning experience on UHF and VHF, even with just 5 Watts. Among other things it taught me about repeaters which not only increased range but it also helped me "meet" hams on the air - which in turn provided a lot of access to knowledge from informal Q&A in a very convenient manner (no travel required and whenever free time presents itself).
The next thing I figured out (duh) was that the antenna is a huge consideration. For few $ you could probably make a VHF/UHF antenna and for not much more you can buy one. I purchased an antenna and mounted it on a photography tripod and pretty quickly experienced the real world impact of vertical vs horizontal polarization plus I got some added range. I have been able to use my HT with the tripod antenna and I also added a mobile VHF/UHF transceiver as a desktop which provides up to 50 Watts (although 10 Watts is often plenty). I also added a SWR/Power Meter which provides some interesting insight. Another component I kind of liked in this setup is an Alinco DM-330MV power supply. It happens to have pretty low ripple for a switching power supply (look carefully and you will see the difference in the specs).
What VHF/UHF experience has done as a first step, beside learning some basic ham operating protocols, has been to help me better recognize more of what I needed to think about for HF. It also opened up a different range of transceivers since I don't need to add VHF/UHF to the requirements - so now I'm looking for a transceiver that will do 6M thru 160M rather than an all-band transceiver. (I could make a case for either but some people would say it's harder to make a great transceiver that spans HF and VHF/UHF; I don't know about this but I think learning on VHF/UHF will inform some decisions on HF.) In any event, more so than the transceiver, I have found that the antenna is by far the toughest part of this ham journey and in my case finding a space for a 160M or even an 80M antenna is unlikely to happen given my location constraints. Even 40M is a challenge in my space. I suggest new hams give a lot of thought to what antenna(s) can fit physically and aesthetically into your space for the bands you expect to operate. (In addition to the considering the physics of RF sometimes a spouse or the neighbors might have an opinion....)
Right up there with the antenna is proper grounding. Figuring out how to safely and effectively deal with RF, lightning, and AC is pretty important and depending on your "shack" environment it could take some research and work.
I'm pretty sure I know what transceiver I'd like (a Kenwood 590SG) but I haven't determined what antenna - but I think I'd like something that can cover the bands from 10M to at least 20M and preferably 40M too; on the other end 6M would also be good. As soon as you start thinking about multiple bands people will tell you that you are headed for a "compromise" antenna - there are a nearly infinite number of antenna designs and an equal or larger number of opinions on antenna designs. In addition to band coverage (and SWR at frequencies within bands), and automatic vs. manual tuning adjustments, there are efficiencies and take-off angles, and I'm sure more considerations. My goal is to be able to fairly readily make contacts across continents on several bands.... we'll see what it takes to make it happen. One thing we don't seem to have control over is the solar cycle but I have a hunch propagation opportunities still ebb and flow within the current cycle. It's kind of like reading about a distant travel location and I'm looking forward to actually experiencing it - hopefully pretty soon.
In trying to deal with antennas it looks like an external antenna tuner might or might not be useful (depends on the antenna and transceiver) but what looks very interesting, especially for EEV-type enthusiasts, is an antenna analyzer. Again, there are plenty of choices but so far I've been looking at the MFJ-259 and 269, MFJ-223, various RigExperts, and the Saark-110 among others. The tradeoffs include the bands you want to cover, how much PC-use you might want, and whether you want the true reactive signs - but what got me going on all this ham stuff was the desire to better understand the technology of RF at the hands on level - so I'm pretty fascinated by the visibility of signal properties provided by antenna analyzers. The ability to see SWR simultaneously across multiple frequencies in a graphical format looks like a "gotta have"
, and from there it seems like it could get deep pretty fast as you move toward Smith charts, Enzec, etc.
Some other considerations are of course the modes you want to operate - seems like you are headed down the CW path and I would guess the SSB voice path too; perhaps the various digital modes will be interesting too. Drilling down a level there is the choice of cables and connectors. I opted for Times Mirror LMR400 Ultraflex (and some LMR240UF) and where possible N connectors vs. UHF PL259/SO239, but be prepared to develop a collection of connectors and adapters including N, UHF, SMA, and BNC.
Additionally, there is the question of overall PC/transceiver integration including how to make an external panadapter (I'm keen to use the 590SG with a SDRPlay and HDSDR), and then there are a large set of choices regarding ham software for QSO logging and confirmation, DX cluster monitoring, and everything from rotator control to operating your toaster (ok, I made that one up).
Anyway, just some thoughts from another guy who is trying to find the path. Hope something in here is useful for you and others early in the ham journey.
73