Welcome Arkeeos. I'm only about 6 months into the Lego train hobbie myself, so I'll lend a hand. Others are far more knowledgeable, but I'm happy to share my thoughts.
I, too, went power functions. The older power styles are cool, but more expensive since they are no longer being produced. I started by buying an official Lego set (60052). It was a great way to begin to see how basic trains are made. In our words, it's a nice intro to the necessary parts. It's also a cheap way to get started. Buying the power functions, track, and bricks separate will run you more money than a basic starter set. However, don't pay full price. I bought mine for $135 US. Search around online and find a sale. I've seen each of the three current train sets for under $150 US, and the 60051 for below $100!!
You asked about magnets. Lego is currently using sealed magnets. These are very similar to the older unsealed magnets, but just coated in plastic. I guess it keeps them from chipping? Either way, they are pretty interchangeable. I have both sealed and unsealed and they work together fine.
I bought my steam engine wheels from Big Ben Bricks. He only sells wheels, but has a great selection of you want to MOC steam engines. You should also check out bricklink. The stores there sell EVERYTHING Lego related. It can be a bit overwhelming at first and the assumption is you know what you want, but as you get more comfortable with it, it will be indispensable.
Hope this helps somewhat. If you have other specific questions, just ask away. I, or someone else, will answer you.