If you want to put together your own at-home weight room, then of course you need to buy some sets of weights. But weights alone do not make a weight room! Here are some other things to shop for as you begin working on your setup.
1. A Mirror
If you've been lifting weights for any amount of time, then you know how important form is. At the gym, you might have a trainer to remind you to keep good form, but at home, you are on your own! Look for a mirror to hang on one wall of your weight room so you can check and adjust your own form. Many weight companies offer rugged, durable mirrors that won't break easily.
2. Resistance Bands
A few resistance bands will make your weight rooms setup so much more versatile. If you have a day when you're sore or just want to take it a little easy, you can use the resistance bands to get a good strength training workout without turning to weights. They're also really good for toning spots like your inner thighs, which are notoriously hard to target with free-weight exercises alone.
3. A Bench
There are a hundred different kinds of weight benches, and you could fill your whole weight room and then some. But if you're just starting out, one single bench with an inclined head rest is a good option. You can do almost every common exercise on this type of bench either while laying on your back or front. You can prop your foot up on the flat portion of exercises like rows. (You would not want to do this at the gym since you've get the bench dirty with your shoe, but at home where you can wear clean shoes that never go outside, it works great!)
4. A Mat
Even with a good bench, there will be some exercises you want to do from the floor. You may also want to sit on the floor to stretch before and after your weight training workouts. Having a mat to place on the floor will help with this a lot as you will be more comfortable. A standard, 4 x 4-foot mat is good enough for most home gyms.
If you are able to get the weight room equipment above along with a good set of weights, you'll be well on your way towards building a usable, enjoyable home gym.