One of the first things people usually buy is a goggle system. A good pair of goggles is a must, so don't skimp. Some popular makes are v-force, JT and dye, although there are more.
If you're looking to be buying a gun then you've got to ask yourself what you want to do with paintball. You can buy a good starter mechanical marker such as the tippmann or inferno range this will allow you to play on punter days with your freinds and other paying customers. I suppose the next step people usually take in developing their paintball experience is walk-on's. This is where you are only playing againt people with their own equipment and you can usually bring your own paintballs or buy them at the site. This is where it starts to get a bit more serious but people are still playing for fun. Mechanical markers can still hold their own at walk-on's but you may find yourself outgunned, therefore it may be an idea to go straight to an electronic gun, for example the PMR or ION which many people opt for, even if just starting out. HOWEVER, paintball sites don't usually allow you to take electronic guns to play on days with other paying people, only mechanical guns. SO it's a question of whether you want to just play with freinds on normal rental days, or go to walkons with other people who have their own gear.
If you decide you want to get into paintball even more then you can go down the road of tournaments. Woodsball tournaments such as the genesis series, or sup'air which is a totally different experience to what you be used to. Usually in tournaments people use electronic guns as they are needed to fire fast.
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