I was in the same camp as you a couple months ago and so here are my thoughts.
Regardless of the style of mashing/sparing you intend to do, you're gonna need a large pot to boil in, ingredients, a way to boil the wort and heat water etc. So the only difference that I can see is the initial cost outlay for a system to try single infusion mashing. Basically, I spent $50 on a cooler and braided line as outlined on Denny's site. That's about all I can think of that I spent that I wouldn't need regardless. To me, it is so simple and easy that I'd spend the $50 and start this way and then you can see what you think.
Best part of it for me was that it has taught me a lot of the basics of all-grain without being overly complicated. It may be the last method I try or just a stepping stone to something else but regardless, I am very glad I took this step.
I've brewed 3 all grain beer so far and only the first has been tasted but it is very, very good. Better than any extract beer so far but I am sure many others could brew better extract beers. And I admit, there's a bit of personal pride in the taste just because I was able to do the entire process myself.
I've also found it very easy to get better with this method. My first beer was 65% efficiency, my next 83% and my last 87%.
I may not have the best or final system yet but this is darn good way to get experience with all grain for a minimal capital outlay and what you learn with this approach will undoubtedly help you as you move further.
Hope that helps.