That's a tall order! First, research as much as you can. Listen to demos, watch vids, etc. next, think about what you want to accomplish. Classic subtractive analog tones, modern digital sounds, west coast/buchla influenced systems, etc.
Then think about your budget. Then double it. ;)
Don't skimp on power and case size. Buying a small case that you will end up outgrowing will cost you more in the end. Also, don't just look at modules simply for their inexpensive price. There's a lot more to modules beyond what you can see, different build quality, functions and more importantly, sound. That's not to say that cheap modules are terrible, but if you are pining for a great complex osc with built in vcas, wave folding, etc, trying to replicate that with basics will usually leave you disappointed.
Seriously though, it can get addictive, and you'll find yourself selling other studio gear to fund modules. I sold all of my vintage synths to start my first system. No regrets of course. ;)
Have fun, and if you have specific questions about modules, power requirements, etc, just ask!