I will readily admit I haven't done too much research into how other people have used Lego in RPGs, however I have starting doing so for about 2 years now, and have some thoughts on the matter. And maybe that'll be useful to you.
Minifigures, and their problems
So, I've heard of people using Lego minifigures as miniatures for RPGs, and of course I can see how that is attractive. Don't need to paint anything, and with the modern batch of Legos there is a huge variety in Lego minifigures, weapons, and all sorts of good stuff. Lego bricks are interchangeable, so you've got a way to easily configure and reconfigure the settings, over and over again. In addition, you can use exisiting scenery with little modification, as minifigs aren't too far off the standard "25mm" miniature scale (but enough to look a little odd)
The downside is that Legos are expensive, for those making their own scenery. Why would you make your own scenery? Part of that is aesthetics. If you are already using the cartoonish look of Lego minifigs, using realistic trees and hills and other miniature scenery could be distracting. Additionally, one of the charms of using Legos is indeed that... Legos! Why stop at the figures?
Of course there are knock-off Brick systems (Mega Blocks and Kreo being two of the largest competitors), however their quality is mixed.
Also, using minifigures as miniatures means a full-scale dungeon would require a shit ton of bricks.
I would argue that although minifigures look a little cartoonish, if you are coming into this proposition open to that, or even embracing it, than that shouldn't be an issue.
Microfigures are even smaller Lego guys, which are generally used as pieces in the Lego board games that have gained some popularity in recent years:
The great thing is they come in a variety of forms, since there are Lego board games that span genres: fantasy, space, modern, and so on. There are even archaelogists from the 20s from Lego's Pyramid-type games (Cthulhu, anyone?)
The obvious advantage here is that using these as miniatures means you can scale-down your Lego settings. Dungeon crawl? Easy, as a 2x2 stud space will easily work as a 5' square.
Where do you get your hands on these babies? Well, that's a little more work. Obviously you can go purchase the prohibitively expensive board games, just to get your hand on a dozen or half-dozen microfigs, but that'll cost you dearly. Fortunately, with places like BrickLink, online, you can get your hands on them for slightly cheaper (the $0.15 - $1 range for most microfigs). It's not the most intuitive web site, and requires a bit of work to navigate, consolidate purchases, and generally shop, but it's probably the most economical way to get your hands on rare or specific pieces.
That's what I did about a year back. I sunk a not insignificant amount of dollars on a large collection of these guys... probably about $60 all said. However, I put together enough microfigs to populate two full games (which I've run many times - in the case of the Dungeon crawl - or plan to run many times - in the case of the Space game), and still have plenty of microfigs to spare for future scenarios, without having to move them back and forth between settings.
So, toss the minifigures?
Hell no! The greatest combination is using the two. The microfigs are the miniatures for the game environment. But the minifigs? They can be used as excellent avatars!
Here's an example of the character selection for my Yendor fantasy dungeon crawl games:
Each minifig has a corresponding microfig (which looks pretty similar in color and look). Most of them could be made male or female simply though hair, although there were a few (towards the top there) where I made the whole avatar and microfig different, such as in the case of the Barbarian and Wizard/Witch pairs.
So, that's the basics in getting started, for me.
Next? Understanding scale and settings. And after that? Ensuring you don't think that Legos themselves are a substitute for a good game and scenario.