Pretty much everyone on here ties their own flies....we have had some good discussions about fly tying in the past. I would recommend you looking into the archives a little to see some of them.
The best way to get started IMO is to buy a beginner fly tying kit...should come with a vise, basic materials, tools, hooks, and instructions. That will get you started on tying your basics...like the "richyd4u" approved BH Pheasant tail!
Tying your own flies is the only way to go IMO. Buying flies gets expensive! Plus, I love to add my own touches to flies, and tinker around with them to see what works best with the fish. It is very rewarding to catch fish on your own flies...especially when they are something that you created. I highly suggest it!
-Rich