We are running a Chicco Key Fit 30 "extreme" as our car seat
http://www.chiccousa.com/gear/car-seats/keyfit-30-extreme.aspx
It is basically a basket style child carrier that clicks into a base that you can secure in your vehicle. If you have an older car without the modern child restraints (like our 4-Runner) then the seat itself can be secured using the center lap belt. Also- if you travel by plane it is an easy thing to take the carrier with you and strap it into your rental car without having to bring along the base.
Lila seems to like it, and she has been riding around in it since 1 month old when we got it. We have gotten a lot of use out of it as the harness is adjustable to 3 shoulder positions, and I have only used up 2 in the last 10 months.
We initially combined this with a generic stroller from Baby Trend at the low low cost of $70.
http://www.toysrus.com/product/index.jsp?productId=2327597
We used that for a few months, but then discovered that we really didn't need it. Most of the time we just take Lila out of the car and either
a. put her carrier on a shopping cart
or
b. take her out of the carrier and strap her to ourselves using one of our "baby carriers"
We have 2 baby carriers- I have a "BabyHawk" which I got from a coworker as a gift, and features customized patterns (tattoo designs on one side, and koi fish on the other)
http://www.babyhawk.com/
Shannon has an "Ergo Carrier" which is more like a back pack and has snap in fasteners and pockets built in
http://www.ergobabycarrier.com/
We switch these back and forth and have had great luck with them.
Lila rode on the front facing toward us for her first 7 months or so, and we have recently switched her to riding on our backs- back pack style. She loves it, and let me tell you it is WAY easier to navigate through a crowd with her strapped to us. The Stroller was a total PITA to deal with in crowded situations.
My wife Shannon used to work for an Attachment parenting baby boutique when we lived in Chicago (Be-Bye-Baby) and these were carriers that they endorsed.
Someone recommended shopping at consignment stores above- I'd recommend that too. Lots of gently used stuff is available for pennies on the dollar. It adds up pretty quickly.
Best of luck to you- Parenthood is the best thing to ever happen to me, I hope your experience is the same.
P