Everything that Captain Clegg said…
I must declare an interest when answering such questions as asked by Desert Fox and parrskool – I own a figure company and write rules and books on the subject but, those came as a result of my interest in the period and were not the reason why I became interested.
You could do a lot worse than spending time poking about blogs such as
warsoflouisxiv.blogspot.com
leagueofaugsburg.blogspot.com
rusmilhist.blogspot.com
All that info is FREE. I have over 800 posts on my blog alone all dedicated to this period, with scenarios and information which can be taken and used.
Figures are available from 2mm to 54mm. Lots of source books are now available. Helion's Century of the Soldier range champions this period and the amount of stuff they are issuing right now is phenomenal.
When I started it was rare pamphlet style gold from Sapherson, Schorr, Ede-Borrette and Condray and weighty work by Childs etc that stimulated interest. International contributions and access to digital archives has made the period far less esoteric and far more easily accessible.
Start with the websites above – that is a great source carrying zero financial risk, it is highly informed data that should point you to theatres, armies, game sizes, scales, rules, painting and source materials. After that, you can decide whether its for you or not.