I've been considering the same (learning electronics, cad, milling, fpga programming, etc) recently. Trouble is there are so many prerequisite skills to learn before you can build even your first prototype :(
Arduinos are really easy to set up and use, at least for simple projects - and you want to start simple. A good source for cheap arduino components is dx.com (deal extreme). Not always fast, but definitely cheap.
Yeah, but there are also a lot of kits out there to get started with. I am also more interested in the automation and software side of things. For one of my work projects I started playing around with openCV, which is basically a software suite that can be used to give your computer a visual cortex... like your webcam can capture images but openCV can see the images and be trained to understand what it is looking at. I never quite figured out how to do those 4 or so lines of code that would have automated the monotonous watching of trail cameras from my project, but it is technically possible. Anyway, if I had a little remote control car or quad copter with a few cameras on it attached to a raspberryPI I am pretty sure I could get it to find a poweroutlet to charge itself when it's battery gets low.
Ah, the software side interests me the least, at the moment. I have a decent amount of programming experience, but near zero in building physical hardware. While I'd like to get to the point of building robotic arms for manipulating objects, I think my current experience puts me right around the point of making a FM radio from pre-packaged receivers / amps / transitors...