Did some research on this a while back...

There's two main kinds of (nice) knives, which I'll insensitively call "german" style and "japanese" style. German is all about being formidable and hefty, Japanese is all about being light and scalpel sharp. Figure out what group you like better.

Next, figure out how many knives you'll eventually want - but you don't need many. Honestly, one or two will do (like Dicemonkey says, 8ish" chefs, and 3"ish paring). If you NEED to have a whole set, but don't want to go all in right away because of budget, pick a set that you can expand on.

When I bought my knives, I went to a knife store and handled a bunch of them. Later, I went home and read about the steels... I ended up picking the morimoto miyabi knives because they're extremely hard (harder knives are easy to sharpen to ridiculously sharp and hold their edge longer), ambidextrous, and are a good mix between the japanese/german "styles".

I'm not advocating this level of detail - it took me a good two years to find a knife set that I liked. And when the Miyabi came out (ironically, a "japanese" knife but made by a german company)

My knives are finicky compared to lower hardness knives (the downside to super hard steel is lower corrosion resistance). I can't dishwasher them... Generally, the harder the knife, the more of a pain it is - up to ceramic knives, where you drop them and they shatter. So I need to clean my knife right after use, but I can toss a piece of paper into the air and slice it in half. Schwiiiing.

I ended up buying: utility, paring, chef's, and a bread knife. I just rounded it out with 4 steak knives. (Listed in order of usefulness.)

But man, just start out with one really good knife. Go to the store and tell them you're new to this, they'll take care of you.

This will help: http://altonbrown.com/10-knife-buying-tips/ (I'm starting to agree with his "no paring knife philosiphy, but I haven't peeled anything in a year or so.)