There is a tutorial around here on the site somewhere about setting a lab up. The benefits are pretty easy to count though. The hacker lab is basically a private network you set up with boxes running various OS's and in different patch states to allow you hands on practice with successful penetration etc. Some people use VMware environments for this. I'm more of a hands on guy myself, and I have 4 towers cobbled together and connected through a switch. Being able to connect to them not only while on the switched network, but be able to get to them while on the 'perimeter' of the router is a good call too. Having a hacking lab lets you basically get the practice you need to be proficient at hacking, without having to do something illegal that could net you years in prison. They are your boxes, so you can hack them, crash them, DOS them, whatever you want them all you could like. Changing the OS's and patch states allows you to get comfortable with finding vulnerabilities in different environments. Sometimes you'll run accross a win 2k print server, or an unpatched 2003 server. Or.. a fully patched and hardened xp system. Having a lab set up allows you to experiment and get a 'hands on' look at what it feels like to try and attack those systems. And to learn from that what will work and what will not. As you're just starting out as you said, I would suggest a VM environment just to get you started. It won't cost you anything, other than perhaps M$ os's to play with. And just have some fun with Nmap, Nessus, Wireshark and Metasploit. If you don't have any real background with computers.. and networking, I would highly suggest picking up a book on basic TCP/IP and networking fundamentals to help you understand what is happening when you're running an Nmap scan and so forth. It won't only help you in your learning about hacking, but quite possibly enrich your understanding of the online environment in general.
"Bad.. Good? I'm the guy with the gun"