Some suggestions from a fairly new Geocacher (though not as new to the sport as my account might suggest)...
Start with caches that SOUND easy to begin with; ones that are geographically close and don't require hiking and bush whacking and such.
Check to see that the cache you're going to be hunting has been spotted recently. In my opinion this can be huge: Nothing more frustrating than looking for a cache that's been muggled away to parts unknown. Arrrgh!
Lastly, just before you head out, read the description, decrypt any additional clues and read ALL the logs. Print any helpful information to take with you. The logs will often provide helpful hints.
I returned to a DNF location for the third time just yesterday after reading a log where someone pointed out the "official" coordinates (meaning the ones given in the description) could be a little off. Sure enough, using the suggested coordinates was enough to get me over the hump and I scored the find. This cache was practically on my way home from work so it met all the criteria: it's close, it's a non-micro, had been logged less than a week prior and the logs made it sound like an easy "Dash and Cache", which in reality it was once I asked myself, "Where would I hide it?"
So yeah, the previously mentioned "mantra" from a few posts up -- asking yourself, "Where would *I* hide a cache in this area?" -- is absolutely your best weapon.