I've had delusions of dropping all of my modern stuff and going strictly vintage for years, but I know that I'll hate it after a while. I've got an almost complete loose collection, just missing a few of the HTF POTF85 stuff, just like most everyone else. And I don't think I can justify paying $100+ for some of the figures I need (Yakface, Luke Stormie, etc.) - I don't know if I can let myself pay that much for them, especially since the ones that I have gotten so far have all been pretty good deals.
But I took the plunge back around '94 when the POTF2 line was just about ready to come out, someone posted a huge collection on ebay that I won for just under $100 and it had just about everything in it - loose Death Star, Star Destroyer, TIE, X-Wing, Wampa/Jabba/Tauntaun, Y-Wing, Cantina, almost all of the SW/ESB/ROTJ figures... I got a sweet deal if I say so myself. That is the way to start your collection - look for a large lot of "everyday" figures - Luke/Han/Chewie/Vader/etc. They can usually be found pretty cheap.
Then again, right now might not be the best time to jump into Vintage collecting. The hype is still pretty high from Episode 3. I just took a quick look on ebay completed auctions to find one or two examples of what I was talking about (finding large lots pretty cheap) and I don't actually see many. I would say if you can hold out, wait another year or so and there will be plenty of people dumping collections of regular figures cheap.