Hehe, love the idea of a Construct theme I bought a nice synth recently, which has some really impressive sounds. I might have a shot! I've thought about using it to do my own music for games as well.
I think you can't really go wrong with buying a MIDI keyboard for a PC, if you do music on a PC it's pretty much an essential. You can also look in to downloading some software synthesisers to get more interesting sounds, and control them with the MIDI keyboard. I would say, though, don't buy the very cheapest - it might be annoying/hard to play, and cheap ones tend to have annoying velocity responses (eg. pressing the key hard vs. soft doesn't make much volume difference). Spending ?50-?60 might be a good idea to get an OK one. M-Audio are a good brand though, and you could also look in to Korg, Roland/Edirol and Yamaha. If you're in the UK, I've used http://www.dolphinmusic.co.uk several times before and they've been good, and cheaper than amazon, who tend to rip you off big time on postage, which makes it more expensive even though their per-product prices might be less. Try both and go as far as checkout and compare prices there.
Also, if you want to get in to music, have a look at some music theory too. Learn scales, chords, chord sequences, rhythms like triplets, and so on. It helps tonnes with composing.