I've been experimenting with dye for the last couple years. I've been using the Craftsupplies Artisan Dyes. They're alcohol based and I've been happy with many of the results. Some will say there are better dyes but I can't address that because I've never tried any others.
What I can say is that even after several years and dozens of dyed pieces every thing I do with dye is still an experiment. Each piece of wood will accept the dye differently. I don't think it's necessary to buy all of the colors unless you want the result to be a specific color. Start with black, red, yellow, and blue. With those 4 colors you can blend and get just about any color. Most wood benefits from being dyed black to begin. Dilute the black dye with denatured or isopropyl (rubbing) alcohol, about an ounce of alcohol and several drops of dye, and give the area you're dying an even dose of color. I use a small can to dilute the dye and apply it with cotton balls. Good rubber gloves are a must. Let it dry and rub it down with a dry paper towel. Then sand it back to reveal the bare wood, as much or little bare wood as you want. From here on it's an experiment. You can't remove the dye but you can sand it back again, add a different color, and the results just keep changing. The black base makes any of the colors have a richer, deeper look. But if you want a bright bold color, I guess you could skip the black. All of the colors are very concentrated. You can use them straight out of the bottle but I've found that diluting them significantly makes blending the colors much easier. If you're dying a very large area you'll need to keep the surface "wet" with alcohol to keep the dye from drying and creating hard lines at the edge of the dryed area. I spritz it with a spray bottle of alcohol. The colors will always appear somewhat dull until you apply a finish. The finish is what makes them really pop. Also, sanding lines will really pop out and show with dye so make sure you have a well sanded surface to begin with and sand between colors with finer grits so you don't create lines. I've never really had a bad experience, just quite a few that didn't turn out like I was expecting. The more 'character' in the wood the better. Have fun!