Start off with something mid-range price. You might be tempted by super cheap stuf but it's usually not worth it. My first gun was by the company "Grizzly" and it was awesome; it was also fairly chep. If your looking for airsoft-type guns you should check out evike.com, its got the good stuff for an even better price.
The Red Ryder BB gun is the way to go. Just wear some eye protection