Quality: you want flatlock panels. 8 are the best, 6 intermediate, 4 not so great (probably your $20 cheapies). It is harder to find good deals on shorts than on jerseys, but rei-outlet.com and backcountryoutlet.com are two good places to try. You should be able to find $80-100 shorts for half off... more expensive shorts don't seem to go on sale. I have two pair of longer shorts with grippers (Sugoi) that are comfortable that I adore - $90 and I paid $40 at rei-outlet. If you want to try thinner padding, go with a triathlon short.
I prefer purchasing shorts that I like, and wearing non-chamois knickers or tights over them. This means that I am not tied to bike-specific warm overclothes, either - I also have tight-fitting soft-shell and breathable rain shells. Shorts are the cheapest, and you'll build up the largest collection of these.
I use knee warmers when I am starting out and the temp is below 50 degrees F; it is important to keep your knees warm, since both the sinovial fluid (lubrication in the joint) and tendons must be warm to work effectively and protect the cartilage from wear. Knees are a weak point genetically on both sides of my family, and I still have problems flare up occasionally with a decade-old IT band tendonitis, so I want to protect them as much as possible. I like arm warmers as well... but haven't found legwarmers to be useful for me. (Like many people, I prefer long wool socks to warm the lower leg.)



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