Start small and work your way up. 
I love this site, especially for beginners because it covers a lot of stuff and it doesn't cost much at all to make some useful projects. Not just stuff you make and throw away.
http://www.talkingelectronics.com/te_interactive_index.html
  
I am not a big fan of the kit projects. They are usually very expensive compared to buying just the parts yourself. Get a breadboard and jumper wires and parts .  
I use sparkfun for some things but for components you are better going to the source. I like mouser, they will send you a catalog with your first order and what a catalog it is. The last one I got from them was 2200 pages and 4.5 inches thick.  They also have no minimum order and if they don't have something you can call and they WILL find it if it is for sale. Just a great group of people. 
http://www.mouser.com/
What I would buy:
Resistors - 100, 330, 1k, 4.7k, 10k, 100k 
Capacitors - 10uf, 100uf, 220uf electrolytic all 16VDC or better, .01uf ceramic disc
Transistors - 2n3904, 2n3906  covers most circuits
Breadboard - to build circuits 
LED - any colors you want
Get an arduino board . I can't stress this enough. If you really want to learn electronics and have fun doing it then get one of these boards. They were designed with easy use in mind and can help you learn electronics by learning how to interface circuits with the boards. The software is all free and you simply write your program on the pc, connect the board to the usb port and upload it to the board which will run the program. After you get the program running like you want you can power the board off batteries and have it do useful things . I use mine for microwave timer for one that broke, security alarm replacement with better features than the original , pc fan controller, lcd display for RSS feeds and more. 
http://arduino.cc/
It will be the best money you can spend to get started.
Seedstudio is probably the cheapest place to get it all.
arduino board:
http://www.seeedstudio.com/depot/seeeduino-v22-atmega-328p-p-669.html?cPath=79_80
Jumper wires:
http://www.seeedstudio.com/depot/1-pin-dualfemale-jumper-wire-100mm-50pcs-pack-p-260.html?cPath=111
Basic components pack:
http://www.seeedstudio.com/depot/20-in-1basic-components-mixed-pack-p-304.html?cPath=104_105
Breadboard:
http://www.seeedstudio.com/depot/mini-bread-board-45x35cmwhite-p-309.html?cPath=104_105
About $35 for everything you need.
LCD display if you  are interested in that is another $16:
http://www.seeedstudio.com/depot/lcd-204-characters-white-back-light-p-350.html?cPath=93_98
Making pc boards is an entire topic of its own. All sorts of methods from photographic to toner transfer. Toner transfer would be my choice. You can print out the board design on paper pulled from a magazine, the slick kind of paper, and then place that on a copper clad board. With a clothes iron you can heat the paper and cause the toner to transfer to the board. Put the board in water and the paper will dissolve leaving the toner intact. Drop the board in etchant ( I like hydrogen peroxide & muriatic acid because it is sold everywhere), and wait then drill. Drilling is the most tedious part and the bits will break easily so get a lot of them.