Mathias,
If you want to just try some oils before you spend a lot of money, go down to the nearest art supply (or general crafts) store and get a couple tubes of regular artist oil paints.
If you don't already have some on hand, get a can of ordinary mineral spirits for use as a thinner / brush cleaner.
I'd suggest (depending on the model colors) any or all of these colors:
Raw Umber - a good dark brown useful for washes replicating dirt and mud. This color works well over heavy mud and earth textures as a dark wash.
Burnt Sienna and Raw Sienna - two good "yellow" and "red" rust colors that work well for rust colored washes and rain streaks.
Payne's Gray - a good, very dark charcol gray (less intense and more useful than black) that is good for pin washes and oil and fuel spills and streaks.
If you just want to experiment with pin washes and oil / fuel spills and streaks, just get the Payne's Gray. The same for the other colors - just get the ones you need for the types of effects you want to try.
All of the washes and rust streaks in these photos were done with the four colors above:


Both of these models have complete build blogs here on Armorama if you want more info, but all of the oil paints that I use for both weathering and figure painting are just the same ones that you can buy in any art supply store. Nothing special is required, really.
HTH,