Just Do It! You can read all you want but you won't know what it's really like until you get out and try it.
...but since you asked. For your first few caches avoid those with higher difficulty rating, those with several DNFs logged, and older caches that haven't been found recently. Look for caches hidden in interesting places (scenic views, on trails, in parks, etc.). Find out if there are any events nearby and go meet the local geocachers. and most importantly, Have Fun!