Every so often I talk to folks about the difference between extract and all grain brewing. I spent many years brewing extract before I moved to all grain but it isn't always necessary to start with extract.
As is the case with most things, there are pros and cons to both, and I recently came across this blog post that really helps break down both sides of the story.
It is a quick read, but helps outline the differences. If you are learning to brew for the first time, it help you make the decision to go whole hog up front. Because both set ups utilize some different equipment, some planning might be in order. Check out his post and comment here if you have other good reads!