I have been an advocate of learning on cheaper equipment, especially if on a budget. A $40 rod has plenty of feel and action to get the basics of casting and fishing down. If you decide you hate fly fishing, you can get in and out for $100 or less. If you've got more cash, or you really want to have top notch equipment, by all means spend a grand on your first setup. There definitely are appreciable differences between a $40 rod, and a $100 rod, and a $200 rod, and a $500 to $1000 rod.
Typically higher dollar rods are built better, they are lighter, have better swing weights (swing weight and rod/blank weight are NOT the same, but a light weight rod will have a lighter swing weight and be more comfortable to fish all day), better components - and better warranty.
Cheap rods will benefit from being a bit less fragile, and if you break one you're less likely to cry about it.
Don't cheap out on your fly line - get the best line you can for your cash. Skip Cortland Fairplay lines. THey're garbage. Cortland 333+ is the bare bones bottom line I'd recommend, personally. Also in the cheap but usable catagory are Sci Anglers Air Cell, and Cabela's Prestige Plus lines. All three of those will set you back $30ish. I prefer a bit better line for most of my fishing. I really like the Sci Anglers Mastery GPX taper line, Airflo Ridge lines, and I'm warming up on Rios products. I wasn't a fan of their early effors, but the stuff they're making now is good. I also like Sage's Freshwater lines.
I just pieced together a new rod combo as a christmas present, and spent about $200 on it. The rod is a TFO Professional II that set me back $80 (sale price, regular $150) it's am 8'6" 4/5 weight 4 piece rod, the reel was an Echo Ion 4/5 that is $80 regular price, and Don at River City Fly spooled it with backing for free. I picked up a Cortland 444+ WF floating line for $39.00 - so total price was $199. The TFO rod is light weight, well made, and has a good action. It'd make a great rod to learn on.
Don't think you have to spend hundreds of dollars on a beginner outfit, but know that spending at least a hundred or two will get you something that will be pleasant to learn on, and will be a good rod as you perfect your skills in fishing and casting. You won't outgrow the $200 setup nearly as quick as you will the $50 setup.