For steel I would recommend 16 or 18 gauge cold rolled steel. I scribed my 16 guage 4' x 8' with a 1" grid. I also used a paste car wax to help prevent rust. Check your phonebook for sources as Ken suggests. I found a place about a mile from my house. They sold steel in 4' x 10' sheets for $100 and cut it for me for free. For magnets, I ordered mine from www.magnetsource.com. For fixtures, follow the instructions that Paul Johnson gives on his website, www.airfieldmodels.com.
If cost is an issue, buy the steel, then save money for magnets. If you plan on building very long, it will be money well spent.

Scott