Ok so there are some posts on this already and the answers are all vary good but for those of you who want a awesome step by step tutorial on air brushing I think you should all check out this months - Fine Scale Modeler. Its a monthly magazine we carry at Westminster and I'm sure at the fort Collins and Longmont stores as well.
This month has probably the best basic intro and step by step guide I have ever ready for buying and using a air brush.
So in case you are thinking about it you should check it out.