MIG? TIG? Stick?
MIG is usually the best first step for welding, since you can get good results with little practise, and can lay down long weld beads very fast.
To me, one of the most important thing to look at is duty cycle (# of minutes that you can weld out of every 10 minutes at a given amperage). There are alot of cheap chiwanese welders for sale on ebay and elsewhere, that have really poor duty cycles.
If I were going to get a MIG welder, my money would be on a Miller 210 or 212. Might be overkill unless you want to routinely weld 1/4 steel, but it has 100% duty cycle at 130 amps. This is a big sucker ($1400, 180 lbs, 3020x40"), so it might be a little much for many people. The next step down, the Miller 180 is alot smaller ($780, 72#, 17x10,15) but only has a 100% duty cycle at 60 amps (at130 amps, it has a 30% duty cycle).
TIG welder is a big jump up in price. If you want to weld aluminum, then you will need a machine that does AC. That means EconoTig @$1500 (not counting about another $500 for air cooled tig gun and accessories). My money (literally, as it is sitting in my garage) is on the Miller Dynasty 200DX.
www.cyberweld.com is a great source... seems to be the price leader, ships in 2-3 days, free shipping (important when you are buying welding equipment).
Yes, I am a big fan of blue...