Follow Mithril's advice, do not smoke anything from a gas station. Start out with some inexpensive and mild smokes from your local cigar shop, ask the owner for recommendations and let him know you are new. I've not had mine yet (still waiting to smoke it) but many members rave about the Gran Habaņos cigars, they are inexpensive quality smokes according to many. Like I said, I haven't had mine yet (sitting in the humidor), but I am excited to try it because of everybody else's kudos.

Carlos Toraņo also makes some great cigars that are very affordable.