I agree with Don about the Midwest kits. They're well-disigned, are made of good materials, and score over just about every other company in terms of their instructions.
But do they qualify as sailing ships? That's in the eye of the beholder. I think starting with a small craft makes a lot of sense, but a lot of people don't like the idea.
If you want to start out with a wood sailing ship (i.e., something with masts and quite a bit in the way of rigging), There are a couple I can recommend with few reservations: the Model Shipways Sultana ( http://www.modelexpo-online.com/product.asp?ITEMNO=MS2016 ) and Phantom ( http://www.modelexpo-online.com/product.asp?ITEMNO=MS2027 ). Either of them will provide you with a good dose of what goes into sailing ship modeling, and produce a really nice-looking model without tying you up for a year or more. What makes those two particularly attractive for starters is that Model Expo offers online "practicums," by a fine modeler named Chuck Passaro, that guide the modeler every step of the way. Just click on "Documents" on either of those web pages and you can read the practicum before you spend any money.
The prices are a bit on the high side, but Model Expo offers sales just about every week - and one or both of those kits can be had for considerably less. (They're also sold by plenty of other online retailers.)
Monday morning edit: I just checked the Model Expo website. All its inventory is 40 percent off through this coming Friday.
There are so few plastic sailing ships on the market any more that it's hard to make a recommendation. I DON'T recommending starting with a big Revell Constitution or Cutty Sark, or a Heller Victory. To do a halfway decent job on those kits takes at least a year - probably more. (In the almost forty years that the Heller Victory has been on the market, I don't think I've seen a finished one in the flesh.) The problem with kits like the Revell Wasa (which, by the way, is a quite recent tooling) is that they represent big ships on small scales. That makes it difficult to do a decent job of rigging. (Generally speaking, in sailing ship modeling the smaller the model the more difficult it is to rig. And good rigging is what really sets that part of the hobby apart from the others.)
Some folks on the Forum disagree with me, but I always recommend starting out with a relatively small ship on a relatively large scale. Unfortunately few kits currently on the market meet those criteria. There are two that I really like. The first is the Revell Viking Ship, which (though not completely without omissions) is a superbly accurate reproduction of the Gokstad Ship, the biggest surviving Norse vessel. Here's a thread about the one I built: http://cs.finescale.com/fsm/modeling_subjects/f/7/p/155395/1701192.aspx#1701192 . Just about any competent modeler can turn this kit into a fine, serious scale model - and what beautiful lines she has! Even my wife likes that model.
There's another Gokstad Ship kit by Emhar. I haven't seen it, but on the basis of photos it looks like it's just about as good as the Revell one - in some ways better.
The other plastic kit I recommend in this context is one that originated with Zvezda and has also been issued under the Revell label. It's a medieval Hanseatic Cog (small sailing merchantman) on 1/72 scale. It's appeared with several names: "Hansa Kog," "Crusader Ship," and "Medieval Ship Thomas." (The kits do vary in fittings, color schemes, decals, and various other respects, but all use the same basic hull and deck parts.) They may look a little toy-like at first glance, but take a look here at what a couple of good modelers have done with them: http://cs.finescale.com/fsm/modeling_subjects/f/7/t/155458.aspx?sort=ASC&pi240=1 ; and http://cs.finescale.com/fsm/modeling_subjects/f/7/t/150254.aspx?sort=ASC&pi240=1 .
The big thing in this kit's favor, for the newcomer's purposes, is that it offers a taste of just about everything - wood grain detail, nautical fittings, shrouds, deadeyes, rigging blocks, deadeyes, etc. - without a depressing amount of repetition. Those two threads are remarkable among the sailing ship discussions on this Forum for a big reason: they follow the construction of excellent models from start to finish. That's rare, and a testimony to the quality of the kits and the nature of the projects.
I think the revenue cutter Don mentioned is the old Pyro Roger B. Taney, later reissued by Pyro and Lindberg under the label "Independence War Schooner." I agree that it's a good starter project, but these days it's hard to find. Two other ancient Pyro kits later sold in Lindberg boxes are in the same category: the fishing schooner Gertrude L. Thebaud (aka "American Cup Racer") and the steam/sail revenue cutter Harriet Lane (aka "Civil War Blockade Runneri"). The "Civil War Blockade Runner" has supposedly been reissued recently by Round Two Models, but I haven't seen it in the flesh yet. The Thebaud and Taney are scarce - in any of their incarnations.
Hope that helps a little. Good luck.