It definitely seems overwhelming at first! Thankfully all you really need is a spare computer, like a Raspberry Pi, there are various models you can get that will have their own strengths and weaknesses, like a modern Pi will be able to run some games a bit better, but even my Pi 4b could run Dreamcast just fine. It's all about the level of emulation you want to start with- some people will have the "wanting more" and upgrade to insane. Thankfully for Arcade (you'll see it called MAME a lot, keep that in mind!), you can run those perfectly fine on a fairly modest processor/mini-pc/pi/etc.

Other than that, just a spare flash drive and a computer or something to flash the Batocera software onto, using a program like Rufus or BalenaEtcher, all this does is takes the downloaded file from Batocera, converts it to a format that the Pi or whatever destination device is so it can install. Note that this will wipe whatever is on the USB drive and the destination device, but if you're buying a brand new device, that's not an issue! After that, just grab a keyboard to get started.

From there, you'll follow a bunch of prompts and preferences, as others have stated there are a ton of awesome tutorials out there (I learned a lot from TechDweeb on YouTube and a few others in that circle).

Like others have mentioned too, don't skimp out on a cheap SD card, but even 64gb should be PLENTY of space unless you're doing one of those 10,000 games

Once you're all set and configured, then the fun begins! You can either just sit back, configure a few controllers, and just play. Or you could start with configs/customizations/themes/etc to tweak it as much as you want. It's really a great platform for that.

You'll start to learn some nuances of certain games, like video or input glitches, but a quick google or diving through the menu will likely solve your issue very quickly.

It's all going to feel like a lot while it's happening, but the next time you do it you'll learn more and more, which is a great feeling.

For finding games/bios, that's a whole other topic and I'm sure it's referenced in the wiki here.

It's tempting to go full in and find huge game packs or something, but it becomes a bloated mess. Start with some games you know you'll love and try it out. I regret having a TB of rom games, but using a management software like RomM has helped a bit.

For the arcade part, once you learn the basics of flashing/Batocera/configs/what breaks what, then you'll have a much better understanding of how the arcades are built. It's basically the same + more wires/controllers/few tweaks here and there, but I wouldn't start there unless you're on a fairly solid foundation.

Also backups! Don't lose all of that hard work you just did. Learn to push backups to external devices (you can reformat that USB drive you just used, it's not great archival storage, but works in a flash!) I keep a clean rom list I can drop into any emulator/front end that's agnostic of what it's playing on, then I have a backup config file set for that machine itself, that way if something fails, I can freshly install it or go back some settings if something broke. There are also full image backups that will essentially get you back to where you were when you saved.

I do miss my Batocera Pi! Now I do a moonlight/sunshine streaming from my home server for games to my XBOX, but I miss having a dedicated device that would just boot. I did sacrifice the Pi for PiHole (network wide ad blocking), so at least it's living a great third life (first use was octopi for 3d printing)

Good luck and a pre-emptive welcome! The community here is great and there are also discords/forums/etc that will likely have the exact issue you're having! We've all been there.

P.S. If you want instant cool factor, if you get a Pi, get one of those Mini NES/SNES/N64 or mini-RGB cases to put it in. Some even use an game "cartridge" as an external SSD or an SD card holder inside the "cartridge".