If you're just starting out I think using virtual machines is the way to go.
Pro's:
--Less costly (one beefy machine vs. needing separate, physical clients)
--Easier to maintain (you can backup your VM's and easily restore them if you toast something and/or need to start over after making some changes to settings to see what helps/breaks certain vulnerabilities etc.)
Con's:
--If you misconfigure something you can't as easily "pull the plug" on a host run amok
(fix this by ensuring your VM's are on a separate VLAN or network, totally isolated from your normal network--but you probably knew that)
--Firmware issues and Wireless clients (see below)
About the only thing I can come up with as to why you would want actual physical clients... maybe if you get to the point of trying to find vulnerabilities in system firmware or BIOS? That... and you won't be able to have the same capabilities with wireless clients as you would with physical hosts with their own wireless adapters.
I'd start with the VM's and see if it's even something you really enjoy first. If it is, and you want to delve into things more deeply, then look into buying some additional hardware and practicing on the wireless aspects--that's where a lot of the focus is these days.
Good luck!
strick