I was in your exact same shoes about 5 years ago. Based on my research / experience, here is my response:
1. MIG is the easiest to learn / become reasonably proficient at.
2. Use Gas shielded rather than flux core. It is easier because you can see better - no smoke from the flux
3. Absolutely get an auto-darkening helmet
4. Go to
http://www.mig-welding.co.uk The site started as a MIG welding site, but has since added tutorials / videos for other types of welding. Watch the videos and maybe even post pictures of your first attempts at welding on the forums - you will get excellent feedback on how you are doing and what you might want to adjust to improve your welds.
I bought some scrap steel in the thickness I was using for my first major project and watched the videos from the site listed above and practiced on scrap until I could weld some metal and either try to beat it apart with a hammer or saw through the joint to see that I got adequate penetration.
You will learn quicker if you know someone who is a good welder that can teach you, but it is a skill you can learn by practicing on your own with some guidance from a good website like the one I listed above.
My project I bought the welder for was a sliding gate with automatic opener across my driveway (alley entrance).
It is about 30 ft long and 8 ft high and made primarily out of 1/8" thick 3" square tubing for the frame and 1x6 board on board cedar planks.
I did not know how to weld at all before this project. I bought my welder (Hobart Handler 140), read the tutorials / videos on the site listed and practiced on scrap until I convinced myself I could weld good enough.
Then I bought the steel for my gate and built it. The gate turned out great and has been opened / closed pretty much everyday for the past 5 years.