Starting with the Heresy cheaply...

So, in this I'll go over probably the biggest hurtle for anyone interested in the Horus Heresy, cost of entry. It's easy to see that, with a game system that is fully supported by Forgeworld. But, there are some ways to save the costs, but to recognize this there are some fundamentals with the kits FW provides in comparison to the fluff. First of all....
Vehicles, and the varieties..
This is one that I've found not everyone is privy too, the vehicle kits are not "pre-heresy" but more a pattern. If you notice, the staple rhino is called a Deimos pattern rhino, this is simply its forgeworld of origins class. The plastic kits that GW sells are classified as "Mars" pattern, and were very much seen in the Heresy. Now some of the Predator variants, will require some level of conversion to show their proper variants. But that is the fun of the Hobby right? In the end, if you go this route you will easily save nearly half the cost of going full Deimos.

Armor Marks...
Another one not really followed, first of all, Mk II "Crusader" and III "Iron" armor were not the staple Heresy era marks. All legions were kitted out with a variety or Marks, some more than others. the Mark IV suit was actually just hitting mass production right when the Heresy broke out (which of course, Horus made sure the legions sided with him were fully stocked with). But Mk V (which really wasn't a true Mark) was seen through out, as it was a clash of all marks in an attempt for field repairs from constant conflict and lack of mechanicum support. Mark VI "Corvus" (or the Beakie) was experimental and given mostly to Raven Guard and Alpha Legion for its utility and stealth capability. In short, use what Marks best suits your needs (this is where Betrayal at Calth is awesome) but in keep in mind of one pitfall, MkVII. MkVII "Aquila" (the standard we see in 40k) wasn't implemented till during "The Scouring" after the Heresy was turned around and the traitors were chased into the Eye. In the end, don't feel obligated to using forgeworld kits for bolter, support, veteran or heavy support squads, Betrayal at Calth or even the standard 40k tactical squad (which comes with 5 mark VI legs and helmets, as will as 1 Mark IV) will work just fine to fill the ranks.
 
Bits, bits and bits....
In today's market there is a plethora of options for alternative wargear, armaments, armor adaptations, vehicle upgrades etc. that will not only enhance the appeal of your legion, but do so on a budget. Below is a list of sites that offer these, and can help anyone from making true Champions for the Emperor's Children, fully emblished Wolves of Fenris, or even convert with Cataphractii into Tyrant Seige Terminators for Iron warriors. It's really worth looking into, and can really make your legion stand out from the rest! 
http://bitsofwar.com/ - awesome selection, especially for weapons-
http://www.spellcrow.com/ - Notorious for giving extra bits affiliated with what you order-

http://victoriaminiatures.highwire.com/ - Great all arounder and replacements

https://secretweaponminiatures.com/ - Some good comparisons, awesome for making unique war torn bases

http://puppetswar.com/ great alternatives for bikes and jet bikes

These I personally have used with great success!

 

Finally, You don't have to be a marine...

Lastly, although the Heresy is focused on Legionnes Astartes turning on each other. It doesn't mean you are limited to just that, there are other options.

Although the list is limited, it still provides options for variance of play as well as opening their own alternatives for bits to use!

1. Solar Auxilia (Imagine Tempestus Scions but in every way thats better)
2. Mechanicum/ Dark Mechanicum (Solid, resiliant, unique, and although the FW models are expensive, you don't need many of them.)
3. Imperial Knights
4. The Imperial Cult (Essentially 40k's Renegade Guard but with mutations!)

Hopefully this helps those beginners looking to know where to start on the dime. Hopefully soon I'll have another topic up discussing what books are vital to use,
and how to make your Betrayal at Calth sets go farther!