This is a good thread with many view points, however I didn't see where anyone has discussed one of the most expensive upfront investments when it comes to draft animals. Harness. I have considerable experience with draft horses and a good team harness can cost over $3000.00 new. I have found a great place to purchase well made new harness at St. Paul's Saddlery. http://www.stpaulsaddlery.com/
They are an Amish run business so not many bells and whistles but great workmanship at a really great price. I would also suggest getting beta harness rather than leather. I know..the leather is nice and smells so great but the upkeep is intense. With beta you just hose it off or if it gets really dirty drop it in a tub with soap and scrub it, rinse and hang it to dry. Toooo easy!!
I have never worked a team of oxen but have read quite a bit about training a milk cow to work as a draft animal. I would like to try this some day. I have had extensive experience with Fjord draft horses. They are a smaller draft horse so easier to harness ( those big guys are way up there, lifting 60 pounds of harness over your head can be a bit of a challenge). They have a lot of strength for their size and harness is slightly less expensive.
It can't be said enough that working draft animals is an art. It is crucial that a newbe learn from an experienced teamster. If you are feeling like you might want to skip this advice please search utube for runaway carriage or wagon and watch a few to see that it can be very dangerous even with experience. For someone with no experience perhaps the burros are a good choice since they tend to spook by freezing in place instead of running like a horse.
Draft horse people are some of the friendliest on the planet and are often willing to share their knowledge and help newcomers. You can meet some by looking online for draft horse gatherings near you. Don't expect to have a conversation with someone who is getting ready to start a plowing contest but perhaps get their name and phone number or give them yours and ask if they would be willing to show you a few things at their convenience.