If price is a concern, you may want to check out the oil paints by modeling companies such as Adam Wilder, AK Interactive, 502 Abteilung. They have colors more specific to modelers, but they don't tell you what pigments are in each color.
However, if you want to take the plunge into artist oils, you will find more versatile and longer lasting colors. You can get away with fewer tubes of paint (thus saving money), but you'll have to learn to mix colors.
My oil paint of choice is now Gamblin FastMatte aklyds. They are oil paints modified to dry faster and with a flatter finish. They don't require soaking out on cardboard--they are ready to use straight from the tube. But the range of colors is limited. You won't find them at HL, so you'll probably have to order them online unless you have a nearby *** Blick's.
As for colors, here is where you can get started. If you just doing weathering, you can mostly stick to the earth colors. The bare minimum starter set is Raw Umber, Yellow Ochre, and Titanium White. These three colors can be variously mixed to give you just about any dirt, mud, or dust color. Add Burnt Sienna to the list for more variety (particular if you want reddish soil). The Titanium White can be used by itself (in small amounts) to fade any color.
From there, you can add Ultramarine Blue and a red iron oxide (color names vary, such as Red Earth, or Mars Red. Look at the label for PR101). The Ultramarine Blue can be mixed with the aforemention Burnt Sienna to get a very near-black, which is good for panel line washes and grease stains. Vary the proportions a bit and you can get a nice dark coffee brown for oil stains, or a dark blue-gray that can be used on Panzer Gray tanks. The red iron oxide can be used by itself or mixed with Yellow Ochre and/or any dark brown to get rust tones.
Those colors will get you a long way. They may be all you need.
For those of you who want to weather allied armor, you can get Chrome Oxide Green or Sap green. This will get you close to various army greens.
As for thinner, I use the Mona Lisa brand odorless thinner.
Hope this helps.