Wow! Loads of info and loads of options. That's what I love about forums - you have a vague idea, you chuck it out there, and a whole bunch of good options come back.
I've gotta say, the more info I get, the more I'm thinking BIAB would be the best way to start. It fits my criteria of starting slowly and I can scale it up later, reusing the pot/urn for something else.
I LOVE the idea of the urn. It seems to make perfect sense. Set it at the temp you want, then you don't need to worry about it (for an HLT that is). At this stage I think I'm going to go with a pot though. Only reason being that I would need a big pot to boil up in anyhow. When I make the transition though - an urn for sure.
One thing I'm a bit confused about with all this talk of insulating, is there a reason you can't just give your mash a blast of heat every now and then (obviously not in an esky, but if it's in a pot)?
Anyhow, big thanks for your responses. I'm now a lot more clued up and pumped to get into it!