I would start with a good scripting language like python or ruby. Then move on to Java. http://www.python.org/about/gettingstarted/
Start with C++. I think learning C++ will get you into good habits since it doesn't do everything automatically for you, forcing you to check your own errors. Then you can move on to Java, C#, etc. The best book to learn is "Thinking in C++" by Bruce Eckel. You can find the e-version of it on his website for free.
Seriously it depends on what you want to do. If you just want to play around and create some relatively cool stuff really easily, Visual Basic (VB) or VB.Net would be a good choice. They'll get you saying Hello World (and more) in no time. Now if you want something more challenging C# or C++ is a good language. But VB will do most every thing you want it to do however there are limits like no metal scraping and no Object Oriented (OO) programming. But if you just want to play around, I'd go the VB way. I'd start with some windows apps first then move into the web world when you feel comfortable. But if you really want to get fancy you can get into perl and regular expressions and baffle us all - well 80% of us.
Just to avoid confusion, VB.net is object oriented as opposed to regular VB, which is not. And in case you have career aspirations, .NET seems to be in demand. Besides maybe looking online for examples and tutorials on starting out, I'd say getting down the object oriented paradigm is important.
