Getting started in expensive markets

[Jesse S.]

For a whole host of reasons I'm ready to begin real estate investing, but there's one minor problem...I live in Brooklyn. This place is a competitive shark tank, margins are razor thin, and price appreciation has been insane since the crisis. My broker just emailed me a Nov 2017 recap for Brooklyn highlighting that the median sales price is up 20% YoY and the avg price per sq ft is up 5% YoY! I can't fathom making my first purchase under these conditions. 

When I think about expanding my location parameters a bit into NJ (because I might end up there in a few years) the picture gets a little better, but it's still somewhat intimidating since I don't have any local knowledge and I don't know where I'll end up exactly. Furthermore, a lot of the general advice I am reading about real estate investing (e.g. 2% rule), doesn't seem to apply to expensive markets like NY, SF, LA, etc. 

Does anyone have any recommendations for resources specific to getting started in expense markets? That may be a pipe dream as markets will always vary, but I feel like there should be something to the handful of markets that are not "normal". Any help or recommendations would be much appreciated! 

Full disclosure- I'm looking for a fairly traditional investment strategy of 2-4 family multi-unit, putting 20% down, using a management company, etc. Not thinking about flipping, trying to swing a no money down purchase, or screening tenants on my own with a toddler running around.