Jeff,
The answer is what ever your pocket will let you.
If you just want to get the feel for it, then I'd pick up some Dragon figures and sit down and paint. On one of the other figure sites there was a group challenge or project that required a stock out of the box figure from one of these companies (Dragon, Tamiya, Masterbox, Trumpeter) and I have to admit, I saw some very impressive work that would give a run for the money to a higher priced resin or metal specialty figure. You could take a step up and go for Jaguar, Wolf, Alpine, Hornet, etc. and get a little better casting, or you could take the Dragon figures and swap out the heads for some Hornet, Mig, or other aftermarket.
These are 1/35 scale and will be a challenge, but inexpensive and make a respectable showing. It also has the advantage of being able to pair them up with any models you might have.
For larger scale, Michael Roberts, Verlinden, Alpine, Dragon, all prodice some nice resin castings that are a dream to paint and assemble.
Pegaso, Andrea, Elisina, Seil, El Viejo, are just some of the other kits that will dent your pocket, and can sometimes offer a challenge in fit, and painting. Despite their reputation.
When you go to the shows, don't be afraid to ask to open the box to inspect the figure. It allows you to see the quality of the cast, and to insure that all the parts are there and there is no damage. Most if not all vendors don't mind this. Too there is the ability to tap a figure entrant and ask him about the figure he built and painted. He or she could fill you in on all the flaws, advantages, problems etc. of the piece before you even hit the vendor room.
The biggest thing to keep in mind is to not allow your expectations to exceed your abilities and the materials you have to work with. Alot of folks getting onto figure painting, despite all their admissions that they don't, seem to expect the best from the worst. No one just sat down and had a gold medal winner their first pop. It took practice, frustation, crying, the rending of clothes, long hours of blinding miniscule work and a collection of expletives to get results that they were happy with. You will be in good company with the folks that have bought a figure, spent way too many hours working on it, only to have it end up in either a box hidden beneath the stairs, buried under the christmas decorations and covered with some sort of voodoo, taboo runes, or dumped into a glass full of paint stripper.
Good luck