Individual pins can cost anywhere from about $6.95 up to $17.95, depending on things like whether it's open or limited edition, whether it's for a specific event or celebration, whether it's only available to purchase to certain groups (AP Holders, Disney Visa, DVC, etc).
You can also buy starter kits that come with a lanyard and between 4 and 12 pins on them. The pins might be the absolute cheapest, "worst" you can find, or they might be fairly decent. Of course, "worst" is irrelevant, because you're just going to trade them for ones you'd like better anyway. I've seen these range from around $35 or $40 up to $80 or $90, depending on how many pins and what type.
Another option is to buy a bulk lot of pins from eBay. I bought about 15 at once for less than $40 a couple years ago. The problem there, of course, is that you're risking getting counterfeit, unauthorized pins. Make sure you check the feedback, obviously, but unfortunately, it's not enough. An honest person may still be trading you pins he/she doesn't know to be counterfeit. The only way to be *sure* is to buy direct from Disney.
As for generic advice, mine is to simply have fun with it. I'm up to about 40 or so pins. I generally take one lanyard-full with me when I go to the parks. I take about 3 or 4 that I just want to wear (my AP holder pins, or my favorite attractions, maybe), and the rest are ones that I'll trade if I see something I like better or if some small child asks me to trade. I don't get the people who obsessively collect, or are concerned about the "value" of their pins. I just buy or trade for whatever I like, whatever strikes my fancy at that particular moment.