I second everything SwaggerCopter said. Great post.

You will also want to check out Reddit's Wicked Edge.

I'll add that you should try a blade sampler pack. Different blades work for different people and different razors, and finding the right blade for you and your setup makes a huge difference. Here are two good links to the typically preferred razors.
LINK
LINK
When you first start shaving, you will be trying to improve your form. So, most people advise to stick to the same razor blade brand for a month or so to make sure that you get a good evaluation of its performance. Some blades are too dull, some are too aggressive. You will eventually find a blade that takes your shave to another level.
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The second thing that makes a huge difference is making lather versus pouring that damn goop from the can and spreading it on your face. That crap dries your skin out and is crap versus a true lather.
Using a quality soap or shaving cream to create lather is the best part about the whole experience.
Plus, there are so many great scents: sandalwood, eucalyptus, lime, lavender, etc.
I look forward to it every day.
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My Process:
1. Run hot water over my brush and fill the sink. This softens the bristles and makes loading the brush easier. I shower while this soaks.

2. Drain the water and refill with warm water. Splash my face with water and apply pre-shave oil (this can be an actual pre-shave oil like this one LINK, coconut oil, or a glycerin based soap like 365 from whole foods)

3. Shave using 3 passes: with the grain (wtg), across the grain (xtg), and against the grain (atg). I apply a new coat of lather before each pass.

4. Rinse my face, apply alum block, rinse again.

5. Apply aftershave balm or splash.

What ends up happening to most people is that they want to try alot of different products and end up having 2-3 soaps, 5-10 creams, 3-4 pre-shave oils, and a ton of aftershaves. It's kinda fun trying out different things.