Why do it? It offers huge variety and is always challenging, as the "playing field" is constantly changing. You can cruise or take it to the extreme, and the sensation of gliding on water powered by wind and waves is awesome.
How to start? Take a lesson at a windsurfing school where instructors have the principles down to a science and can teach you really quickly. It's best to start in nice flat water and light winds, and take baby steps.
What to buy? Borrow school equipment, which is much easier to learn on, and then buy more advanced "freeride" gear you can grow into.