practice, practice, practice, MIG and ARC are the easiest.
get some scrap, have a read on the above mig welding forum, watch a few youtube videos and have a play, setting up the welder is the trickiest bit, the actual welding is a piece of piss.
when buying a mig, buy the best you can afford, i borrowed a mates clarke 110e to start with, and it was crap, then i bought a new clarke mig pro 90, and it was crap, now ive got a clarke 160 turbo EN and its not a bad little welder but it is over double the price of the 90.
remember, cheap shit is cheap for a reason, its shit.
the 'turbo' fan cooled is definatly worth it.
oh and i agree with the auto darkening mask, one of the best bits of kit ive bought, although some people dont get on with them, i love it!