A word of caution, don't buy black bricks to start out with, and set yourself a budget or you will be out of money within a month, lol.
I came out of my "dark age" and went gung-ho into Bricklink to get myself some castle parts. Black was cheap, so I bought about $100 worth of various panels, bricks and slopes, only to find out that black structures are infamously impossible to photograph. All of the black causes you to lose any variations in lighting and shadow. It CAN be done well, but it requires a building and photography expertise that you won't have right off the bat.
My suggestion: Pick a main building color (I chose light bluish gray) and just focus your Bricklink purchases on buying in that color for a while. Other colors will come over time to you via complete sets you buy, as will a lot of great unusual pieces that you wouldn't think to purchase on your own (hinges, unusual slopes, etc).
A few bricks you can never have enough of:
1x2, 1x3, 1x4 bricks and plates
2x2, 2x3, 2x4 bricks and plates
medium and large plates (for floors of multi-story buildings) such as 8x8 or 4x10
large plates (for longer spans) such as 6x12 (these can start to get expensive though, so focus on cheaper parts at first)
1x1x4 arches and 1x2x6 arches (WxHxL)
Various slopes, in both your main color and black or red (for roofs)
Inverted slopes such as 1x2 and 2x2 (great for making windows or doorways.
1x2x2 2/3 rounded windows are also useful, and are pretty cheap in reddish brown. You'll need fewer than you think though, so a dozen of them should be a good start and then just buy more as you need them.
Unless you really like the style, avoid big panels. They seem like a good way to make large walls, but you'll see that most of the 'advanced' builders tend to avoid them because they just don't look as nice as a brick-built wall (though they have their place in certain applications).
When buying, look for bigger stores that have several of the parts you want in large quantities. It is far cheaper to pay a few cents more per piece and get it in "one stop shopping" than to place a bunch of small orders from several stores, because the shipping costs can be a hidden money pit.
Other than that, be on the lookout for stuff on clearance or for toy sales. If you're patient, you can find a lot of good stuff for at least 25% off, if not 40-50%. I almost never buy anything at full price anymore.
Feel free to ask if you have any other questions
I think there is a Bricklink FAQ thread around here somewhere. I will try to find it for you.EDIT
: Here it is http://www.classic-castle.com/forum/viewtopic.php?f=8&t=23986
PS - Future conversations about buying and selling Lego would be better suited in the Buy/Sell/Trade forum. I am sure a Admin will be happy to move this thread, so don't worry about starting a new one down there