What should I start out with first?
Start by watching some of the RamblinRev Video series and then start with some old sheets, or whatever the wife will let you have. Just practice making some of the different hems and try some of the different stitches. Pretty soon you will want to make something. A simple stuff bag is not a bad place to start. Make it out of whatever you have, doesn't matter, its the practice and experience of making something yourself that will get you started.
Good luck, and have fun.
We need a "sewing" Smiley