Local Dive Shop as opposed to online buying.
You know the Internet is fine for buying commodities, like books or dog food, where you don't need advice. I like to support my LDS because the guys there are extremely knowledgeable and experienced, and since I'm a rec diver only, I really value that. . .a lot. The economics are pretty simple, and I know I'll pay more, but I want that LDS to be there a long, long time. Just my philosophical intro.
Fishbait's right, you can find good used gear, but you cannot evaluate it yourself. If you get some from classifieds, ask your LDS if you can bring the stuff there and have them look at it with the seller there and give you an opinion and offer to pay the LDS for the opinion. $20-30 should be acceptable. They'll probably be happy to do that because they'd like to make you happy and have you come back to their store for other gear.
Your LDS might sell used gear, too. Not all do, but some do. My LDS is fantastic, within 15 minutes of my house, and they sell a boatload of new and used gear, which is ideal.
Also, if you're new, your LDS will likely make you a deal if you buy a whole package from them rather than spread your purchases around. If you go to one place and buy just the regulator, they'll probably give you 10% off if you just ask for it. You'd be surprised what people do if you just ask politely. Most folks don't like to ask. Don't be confrontational, but say to the salesperson, you thought about buying online and made the conscious decision to pay more to support them being there for you for advice, and you believe paying more is reasonable. But you're not made of money, and the stuff is expensive, how about meeting you somewhere in the middle between Internet and their prices, say 10% off? The sales clerk is in the same position as you (unless they're the owner). They can't afford all the toys they want and they're not made of money either. Since you didn't ask with a chip on your shoulder or somehow infer they don't deserve the price differential, you've acknowledged the value they add to the transaction--advice and knowledge, they'll probably give you the 10%.
I'd recommend against spreading your purhases around, though. Go to one shop, find the one you think you'll want to continue to deal with for a long time, and tell them you want the whole enchilade, sans tanks and lead of course (unless you do a lot of local diving. . .all mine involves airfare, so I dont' have tanks and weights). You're going to spend between $1,000 and $1,500 for certain if you're starting from scratch, BC, Regulator & octo, guages, appropriate wetsuit, mask, fins, snorkel, maybe even a second wetsuit if you dive different temperature ranges.
Make the same plea and acknowledge the value of dealing locally I suggested above, maybe indicate you'd have a tough time affording the whole package in one gulp without doing a little comparison shopping or without relegating some of the purchases to online, but you'd really rather get the whole enchilada right there. You might find they'll go way lower than 10% off. Maybe 15% or even 20%.
Americans aren't used to haggling, and it doesn't make sense at the grocer or at Walmart. But buying a whole set of scuba gear at once is a major purchase, and I liken it more to buying a car than buying at a department store, and I haggle like heck when buying a car. . .and it works! Just be honest with the dealer and don't act like they're gouging you at retail prices. They sell most stuff one piece at a time, after all. The Internet sales issue as much an economic reality for them as it is for you, and if you're friendly and trying to work with them on a big purchase, and acknowledge their value added, you'll be surprised at how happy they might be to discount.
Happy shopping!