Larry,
Welcome to the start of a serious addiction! [

] The venerable Mr. Cavanaugh gave you some excellent advice (I wish I'd had somebody to tell me what the h*** I was getting into when I started...) and I'd like to piggyback on it, if I may. I highly reccommend the starter kits from CSUSA (woodturnerscatalog.com), they've served me well. I also have two tool reccomendations:
1) Buy the best tools you can get your hands on. Turning chisels and gouges get a lot of use and they dull fast. Cheaper tools dull faster and won't sharpen as well. The more time you spend fighting crappy tools, the less time you're spending ENJOYING the process. For 85-90% of my pens I use a 3/4" roughing gouge and a 3/4" skew, both Robert Sorby. That's it. I have a six piece set of generic HSS tools and I use the parting tool and maybe the small spindle gouge, but not much. I sharpen at the grinder about every 8-10 pens (unless I'm turning something REALLY hard) and I hone the skew with a diamond hone before my final cuts each time. The difference between the generic set and the Sorby tools is night and day. When I started all I had were the generic tools and I was frustrated by catches, vibrations, and other myriad problems that all stemmed from using small, inefficient, dull tools (along with a healthy dose of lousy technique). The mini and micro sets really aren't necessary for turning a pen. In fact, it's a whole lot easier to use a large skew than a itty bitty one (bigger sweet spot, more tool control).
2) Buy a good set of measuring tools. I use my micrometer, dividers, and vernier calipers on just about every pen. Bushings wear down and even new ones aren't always spot on in terms of tolerances. I measure almost constantly; it's really the only way to get a seamless fit. I can tell my early works and my "hurry-ups" by the fit. They're just not as clean as the ones that I took the time to measure.
3) Spend some quality time hanging around this place and/or your local wood turning club. I thought I knew some stuff about pen turning until I ran into some of the serious pros on this site. One good critique of my work has already sparked a renewed dedication to improving the quality, consistancy, and creativity in my work. If you're willing to take a bit of an ego hit, you can get an amazing education; I know I did[

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Happy turning!