As you'll see, I'm also pretty new, but wanted to throw in my 2 cents.
I'm inclined to agree with most of the previous comments on the rulebooks. But since you say cash is a consideration, maybe consider picking up the first one, just so you do have stories and background to show off? Like you, I like to play the "good guys" so backstory is important to me.
For terrain, the last game I played, we used a ton. We did two forests and a sort of small arena-type thing in the middle, done up with four walls set in a square. For smaller pieces, we had 7 or 8 walls, columns, piles of crumbled stones, etc. It made the game more exciting, and (I think) a little more forgiving on me as a new player, knowing I could hide for a little bit while I figured out what I was doing
Lady J is a blast. Period.
When I demoed the game, though, I used So'mer Teeth, the gremlins, and some pigs, which I think appeals to a third sort of player, so might be fun to pick those guys up as a third army. Colette is tricky, Lady J is straight-forward...and the gremlins are ridiculous.
Enjoy, and let us know how it goes!