* This craft is extremely addicting. *WARNING
That said, welcome to felting!! How much wool you should buy is kind wide open for suggestion. It depends on whether you're wanting to try wet felting or needle felting or both and what kind of projects you're planning on starting with. Most wet felting projects require more wool, though you can start out with some smaller things like beads which don't. For needle felting, very little wool is needed to begin. You can get small variety packs of colors on eBay and from online shops that would be good to just start playing with if you don't have a particular project in mind yet.
Search on eBay for "wool roving". For needle felting, I like corriedale and merino, and for wet felting just merino. That's personal preference, others may prefer something else. For needle felting, you'll need, of course, needles. Search eBay for "felting needles". I recommend a set of coarse and a set of fine. There are more grades than that, but I got mine on eBay labeled that way and those mostly do what I need. Not absolutely necessary but nice for needle felting is a foam pad of some kind to put the work on and not stab yourself. I got a pack of foam from Walmart for maybe 4 bux with 4 pieces 1" thick. For wet felting, you need something to lay the wool down on and roll it up in for the fulling process...I use either a reed shade from the Lowes clearance section or a piece of bubble wrap, depending on how big my project is. Also, find a piece of netting big enough to cover whatever project you're doing. Old lace curtains work well too.
You might consider buying a kit if you're interested in needle felting. There are some really good ones out there and it's a quick and easy intro without having to pick out supplies. That's what I did and ended up with a really decent, satisfying result my first try. Though, of course, that does cost more.
I'm probably forgetting something, but honestly, I'm needle felting in between reading posts right now and using just some wool and one needle and the job is getting done just fine. Though my fingers hurt in a few places
Oh yeah...patience. You definitely need some patience. Gotta get me some of that myself. Good luck/have fun!