A running joke in the Warhammer 40,000 community is that "it's named that way because that's how much it will cost you." To play 40k you need units — which fetch around $10 or up for a box of five and take time to paint since they come plain — maybe some good-looking terrain boards, and the playing manual.
It's fine if you've got a lot of time and money to spare, and why not? But if you don't you should still be able to play a game that's inexpensive to begin, quick to learn and easy to play. That's War Game.
War Game is a tabletop game like 40k: your units are represented by figures, which you move around the game world and use to attack the figures of your opponent. The difference between 40k and War Game is that War Game has a shallower learning curve and costs next-to-nothing if you live near a good store.
The other bits are easy to get. You'll need a goodly length of cord to measure distances, two dice, a coin for flipping and a copy of this manual if you're not familiar with the rules.