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I would get the Pioneer CDJ-800's.
Of course, I may be a bit biased when I say that, but it seems like most places have CDJ-1000's, so the transition across Pioneer models won't be as great as Denon -> Pioneer.
I know that's one of the reasons why I got the 800's.
From what I've heard, the DJM-400 should be perfectly fine and should last you a long time. Just be aware that the inputs are analog, and are converted to digital internally for mixing.
I'd hardly consider that a 'starter' setup, but what do I know? I started off (still am, hehe) with an Ecler Nuo4 and a Pioneer CDJ-800mk2 (2nd CDJ-800 should be arriving next week).
I did some pricing earlier this summer on equipment, and came up with $1733 for 2x CDJ-800mk2 and DJM-400. You can probably find it for slightly less (try agiprodj.com, djmart.com, etc.). I bought my equipment through agiprodj.
As for headphones, I bought a pair of Sennheiser HD280 Pros last year for around $90 or so. The only issue I have with them is that they are a bit bulky. I would suggest trying out as many as you can and make your own decision. I've heard good things about the HD25's, and have heard about breaking issues (something cleanly snaps, probably the frame) on the Pioneer HDJ-1000's. Perhaps someone could also comment on the Technics DJ-1200 headphones (I think Armin van Buuren uses them? ~$120).
Hopefully this (rather long-winded) post will help you out a bit. =)
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