Go to your favorite search engine and I am sure you can find everything you ever wanted to know. I was considering getting into beekeeping untill I found out how much it cost to get started. It can be pretty costly. I will probably do it one day if I ever find a good deal on some hives.
I'm not sure if it varys from state to state but yes in PA you can go out and collect swarms. Catching one or two bees isn't going to get you a hive. You will have to find a swarm. Which is when a queen and workers leave a hive....and are trying to find a new place to setup shop. This will usually happen in the spring/summer...there will be a ball of bees hanging from a limb or something in the woods or other likely locations. Easiest way is to just buy a package. Most package supplies are already sold out for 2009 though.