If you don't snowboard a whole ton, the main benefit of buy equipment is quite literally having your own equipment. You can get used to your stance and your board and you'll progress a lot faster than if you're always on rentals.
Like the above posters said though, it's pretty expensive. Don't make the mistake of skimping out on boots either. That'll kill off your drive for snowboarding faster than anything else.
Oh yeah, set aside some money for a helmet as well.