If you're looking for Tabletop Wargaming, there are other games than the ones put out by the megalith that is Games Workshop. Most of these cost less, but can be harder to find other players. I've recently found a number of people who've been put off by the expense required simply to get started in 40k or Warhammer Fantasy turning to other things like Privateer Press' Warmachine and Hordes. I like the steampunk feel of giant robots, so I'm playing Warmachine, but the feral beasts in Hordes may be more your sort of thing, so something for everyone there.
It's similar with Tabletop Roleplaying, the Megalith is Wizards of the Coast and their Product is D&D and it seems like the only thing available. It's not. Any references you could give me about what sort of a setting you're looking for would help me make better recommendations, but there's several things you could do much worse than try.
D&D - has its good and bad points and depending on your group it can be anything from a creative experience in unscripted acting to a redesigned Wargame campaign where you don't have the actual pieces to represent what's going on and the rules are paramount. Any of these things can be fun for people, so it's not my place to say what you want from it, it offers many things. However, what it doesn't do particularly well is help you get into your character. D&D has always felt to me like manipulating a rubber sponge with the stat sheet glued to it because of its tendency to get bogged down in rules too often. It just has too many rules and this can get in its way as much as support it. I know 4th Ed has done a reasonable job of taking out some of the more complex rules, but it took several of the most interesting things with it, like character morality which has an actual meaning instead of Good, Evil, Lawful, Chaotic and not sure.
White Wolf - these have a much deeper world to inhabit, mainly through the use of stories at the beginning of every book to draw you into the right feel of the world. However, these stories are almost all dark to some degree and while they can be used for super happy fun time, they're not always the best introduction for new players. Rules are quite a bit lighter than D&D and there's a wealth of Background Material. Settings vary depending on what you want to play as the focus. Vampires, Frankenstein's Monsters, Werewolves, Mages, Mortals hunting all of these and various other stranger things, especially if you look back into previous editions published in or before 2004. Yes, I play this one and I favour it, but it may not be what you're into. Also, it's mostly written for the modern world which may or my not suit you, though there are supplements available for other time periods such as Victorian London, Wild West, Dark Ages and so forth, it's also very firmly set on Earth, not on mythical fantasy worlds, well, not usually =)
Shadowrun: This is my pick for Futuristic Roleplaying. It offers a world set around 2069 where technology has advanced as we might hope or expect and society has decayed as we might hope or expect. There has been an awakening, so Magic coexists with technology and various events have released supernatural and other threats onto the landscape. The game here is completely different again, you're usually a Covert operative of some kind focussed on getting what you want from a corporation. It's often about intrigue and corporate power balances as well as functioning in a hypertechnological society that can potentially track everything you do. I've found it great fun as you get all the fun toys of the future and the mythical past, but you have to play with them inside a society that knows terrorism exists and act accordingly.
I've even run my own games system based on incredibly simple characters for new players. I was at University at the time, so just got the players to design new students, then populated all the various buildings with appropriately threatening things and sent them in to investigate so they could gather what they needed to pass their final exams. The system worked well with only Rock-Paper-Scissors being occasionally invoked wherever decisions needed to be made arbitrarily. Players simply had to give some background to who their character was so we knew what they were, some secrets to be used against them by the GM or other players, One major power that defined much of who they were, two minor powers and a major flaw. I can't stress the flaw enough, because characters who don't have any are no fun. Games come from conflict and a flaw is an easy place to draw conflict from.
Anyway, enough of my rambling about games systems, with miniatures games, ask around to see what other people are enjoying or ask your local games shop what people are playing that isn't just GW and the same with roleplaying, open the books and take a look, see if you like the idea of it and give it a shot. You may also be able to find Game conventions in major cities near you and going along to them can be a great way to develop an addiction to systems you'd never otherwise hear anything about.