Which microcontroller do you plan to use? What programming language do you know or want to learn?
Why? What do you want to build. If you just interested in simple gadgets and toys, Microchip's PIC series is likely a good first choice. (likely started something with that comment...) It's probably the most commonly used by hobbists, and the most documented with projects and examples on the web.
I start last December, and went with the AVR series by Atmel. I wanted a USB programmer, a rich instruction set in assembly, and a good variety of features. After a few initial set backs with cables, I was able to do several projects in little time. I'm working to get an LCD display working, so I can look at what I'm doing. Should probably use ISP/DEBUGWIRE for this, but not to sure about having the programmer hooked up to a live circuit. Hate to damage it, and maybe my computer in the experimenting.