shopping for a first pair of clipless pedals...need advice

Look Keo Easy's.

they're as light as the expensive ones, but without the adjustable tension.  I've used them- and they were set at a perfect and easy tension for me, and were way cheaper than most.  I wish I got them- instead, I paid a lot more for essentially the same function.

Anything with a 3-bolt pattern (Look, Shimano SPD-Rs, Nashbar/Performance, etc.) will be affordable, reliable, and easy to learn on.

btw:  you WILL fall down while learning.  Resistance is futile.

I did a lot of research on this before buying my first pair and ended up with Speedplay Zeros. They are more expensive than entry level Shimano or Look pedals, but I like the float adjustability and that you can clip in on either side of the pedal. 

As people say, you will fall. It's inevitable, but practice makes perfect.  

Thanks everyone.  Ugh, I live in Manhattan...falling on the street would not be good.  Guess I can walk it to the park and practice falling there. 

They're pretty easy to get out of.  Falling has less to do with skill, than it does with merely remembering to twist out of the pedal when you come to a stop.  It's far easier than remembering to reach down and loosen the foot strap on the cage style pedals.

I think you'll be impressed at how convenient and easy they are to use.