Triathlon First Steps
For clarity, when I talk about triathlon for this post, I am referring to the more traditional and popular form of swimming, cycling, and running. I am also making the assumption that you really, really, really desire to participate in a triathlon or at the very least, are seriously thinking about it. That said, this Olympic sport is NOT something that you decide to do on a whim today and then you're in it tomorrow! The motto of the Boy Scouts comes to mind: Be Prepared.
I'm convinced that the very first step to take is mental. You need to take the time to do your research and learn all you can about the triathlon from a big picture perspective. Don't rely on just one source either. This does not have to take forever and a day, especially if you use the Internet. Just slow down, take a deep breath, and read some information that interests you about the sport.
Another mental must is to adjust your thinking regarding training and winning. Rome wasn't built in a day. If you haven't been rigorously swimming, biking, and running for triathlon distances for awhile, then you will need to ramp up. Think of the tortoise and the hare. Slow and steady wins the race.
Triathlon Equipment
This seems awfully logical, but here goes anyway. Obviously, the equipment you need for a triathlon is a swimsuit or wetsuit, bike, and running shoes. There is no one-size-fits-all with any of these. What one athlete loves, you might hate. Fit is important. So take the time to try out several options. I suggest you work hard to find a person of your same gender who has actually participated in a triathlon to help you out. While usually well-intentioned, beware of sporting good store owners and salespeople unless they have a record and reputation of actually being in a triathlon themselves.
Bikes can be expensive. While training and if finances are tight, you might consider purchasing a used road bike of the model you're most interested. Typically, these can be found online at a variety of reputable auction sites.
You're probably most comfortable in the shoe category knowing what you like. However, I still advise you to talk to some experienced runners and try out several shoes during training that they recommend. And despite all the warnings, once you do decide on your shoe, don't do what some newby tri's do and go for new, out of the box on race day.
Triathlon Adventures
You'll soon discover that the triathlon events are held all over the world and at some wonderfully exotic places. This can be, if you approach it that way, one of the high adventures of your life. People from all over the world have become close friends for life through their tri-adventures. Enjoy the time leading up to the event. And make some time on either side of it, to enjoy wherever it is you are. I know some who fly in and out immediately prior to and after an event. Don't do this. Smell the roses so to speak and live life to the fullest savoring all the moments of your triathlon adventure.
Ironman Triathlon from the Inside Out by Mitch Thrower
Besides what you may have already discovered, Wikipedia has a decent resource article with plenty of additional links. To go to that article click on TRIATHLON.