What would be a good locomotive to start with?
This depends very much on your taste, experience and inclinations. For steam locomotive buffs, some very high quality etched locomotive kits are available complete with fittings, for example those derived from Malcolm Mitchell 4mm kits, but they take time and skill to complete, and even with experience you may prefer to start with something fairly simple. The Society lists, and those of Worsley Works, 3SMR and Finney&Smith are worth browsing. Many recent kits now employ fold up chassis which are quickly and easily assembled, and some these can be used with older kits.
The simplest bodies to assemble are the older white metal kits, such as the ex GEM kits available from 3SMR, and some Society kits; some are crude by today's standards and may require minor modifications to use modern chassis, but they are usually dimensionally correct, can be improved by adding detail, and may be an acceptable starting point. Etched bodies obviously require a fair amount of soldering and take more time; the more modern use slot-and-tab construction, which helps a lot with assembly, and if you're happy with soldering, the simpler ones, for example the smaller Connoisseur 7mm derived ones offered by Finney&Smith, or the smaller Society ones, may also be a good starting point. A few etched kits use resin castings for major body components such as firebox/boiler/smokebox, so you are saved from forming the trickier shapes; these include the well-thought-of Brynkits range, which are obtainable from 3SMR.
With most kits you need to add motor, gearbox, wheels, couplings, paint and transfers, pickups and handrails to complete. Cram as much weight in as you can (a good rule in this scale). Some modellers revell in applying extra details.
If you're into diesel or electric, look at the offerings of Worsley Works, Bruce Smetham, and others. For example, you could take the Worsley Works Class 58, add a Bruce Hoyle set of whitemetal castings (now obtainable from the Society), and power it with suitable bogies from say the ranges offered by 3SMR. Bruce Smetham produces cast resin bodies for a number of first generation diesels, including a Western, and a Class 20. Worsley Works also does an extensive range of etched multiple unit kits.