Set a budget, ask yourself why you want to go down this path.
Do you want artifacts of nostalgia and self expression? Subjects for photography? Do you want to just play with toys like when you were a kid? Maybe they're just expensive fidget toys to you, or maybe you enjoy the engineering.
You have to understand yourself enough so you can focus on what makes you happy.
I personally enjoy toys for their own sake. I'll buy figures that look fun and well designed even if I'm not familiar with the source material. I enjoy the toys as objects and I also play with them the same way I always did.
This is an expensive hobby, it's easy to be overwhelmed too. The market is bigger than ever for adult collectors and companies know it, everyone and their grandma is a nerd and a collector these days, but at the end of the day it's all plastic junk that'll end up in a landfill one day. Just remember you can stop the second you're not having fun anymore. You're in full control here. Most of us here took our hands off the wheel a long time ago and can do nothing but wait for deliverance through the dimensional merge and our blue heart goddess. Maybe then we can finally live, breathing something other than the noxious fumes of leaked plasticizer, floor polish, and years old dust covering our wall to wall transformers collection we haven't touched. Maybe then we can look our fathers again in the eye and see them looking back at us with pride. Until then there is only shame.