I wrote an article on
starting your first paysite a few years back.
Only major change today is it has gotten even cheaper to produce content and even more so if you buy already produced-exclusive content.
I also recommend starting with Clips4Sale.com and related type sites. First it's the cheapest solution, then it's a great way to get a feel if your style, content flavor ect can match with a market - and it puts some bucks back in your pocket before having to fork over the building costs.