Should I integrate directly with Visa and Mastercard? Is this expensive? Or should I just use PayPal? Will people get annoyed and leave if they have to go through PayPal to purchase an item?

You have two choices, you can get a "real" merchant account through your local bank or merchant service provider, or you can get a 3rd party processor like paypal to do your online store.

One flaw to paypal and others is that your customers will need to go off your site to register and verify, then buy your product. Most companies with this are noticing that customers are not returning or buying the product once they leave their shop to buy a product. Most customers are looking for the best price AND ease of service. If you have a gateway directly on your site, your conversion rate will go up.

Getting a "real" merchant account is much easier than most think. In most cases, you will only need a valid business checking account and verifiable business credentials like a license or utility bill. The best thing you can do is find a processor you can trust and that you can plan on sticking with the entire time you are in business. Find this person from the start so you can spend your time on the most important part of your business - sales.

Good luck with all your business ventures!~