This is just general information WHICH IS MY OPINION ONLY so take from it what nuggets that you find useful.
What do you want to do with it? Hunt? Self-Defense? Target Shooting? Not sure? Are you in an urban or rural location? How coordinated are you? What is your budget? etc. Do you ever plan on carrying concealed? If you answer these questions, you may get more specific answers.
The old recommendation that I heard was that you need a .22 handgun, a shotgun (pump, single shot, or double barrelled), a .38 revolver, and at least a .22 caliber rifle/bolt or semi-auto. Nowadays, things aren't so clear.
What I would recommend not knowing your answers to any of the above questions, is that you go to a firearms familiarization course first, NRA and gun ranges are always a good bet for these. Often it is the case that you get to handle various firearms under safe conditions with supervision, learn some basics about firearm safety, and learn general operation of some firearms. You can get this also via proper books and videos/television if you get the Outdoors Channel.
Unless you have medical issues with your hands, I would recommend for self defense as an adult starting with a used or new 9mm semi-automatic pistol that fits your hands. You should be able to reach all of the critical control levers without changing your firing grip. You will have to practice with it at the range enough so that the operation, takedown for cleaning, and reloading it. The ammunition is cheap, most adults can handle a 9mm, and the design itself reduces felt recoil versus a revolver. The polymer revolution has people that favor various models and you can find that debate on the THR semi-auto forum. Glocks, S&W M&P, and Rugers, Springfield Armory, are popular for various reasons-my advice is to try them out and buy the one easiest for you to operate--simpler controls are usually better.
Some will recommend a revolver. A standard 3-4 inch barrel double action .38 caliber revolver made by Ruger, S&W, (or if you are on a strict budget, Rossi, Taurus, or Charter) can be quite easy to learn to shoot. It is more difficult for many to shoot well in double action without significant range time as it has a much stiffer trigger pull. The grips do need to fit your hand and distance to trigger is very important for good fast double action shooting (the trigger should be in the power crease of the first joint of your trigger finger--not the pad). I do not recommend developing single action firing techniques until you are comfortable with double action firing as how you practice would be how you will shoot. Single action in a DA revolver is more for target shooting. The .357 Magnum revolvers used to be king of the hill and these revolvers are made stronger to fire the .357 Magnum round but you can shoot .38 special or .38 +P (higher pressure than standard ammo) quite nicely. Usually these are also heavier which absorbs some of the recoil. Due to cost of ammo and training, things like .44 Special, .45 ACP or Colt revolvers, single action revolvers, etc. present difficulties and can be quite expensive. When a beginner, avoid the very light weight revolvers--service revolver weight are the easiest to learn to shoot.
Snubbies are short barrelled revolvers that can be shot very accurately if you practice--they are more concealable. But, the recoil and trigger pull are significantly enhanced which affects accuracy and can discourage training with them. Shoot one before buying one.
An advantage that a double action revolvers have over semi-automatics is that operating them is simpler---easy to check if loaded, unloaded, easy to clean, no removal of springs, barrels, takedown links, etc., and no safety other than a heavy double action trigger pull. But, that same trigger pull can cause people to be inaccurate with a revolver unless you fire enough rounds to become accustomed to it. Single action revolvers represent the best of 1800's technology and are useful for special applications unless you spend the time training with them.
I like revolvers and started with them but they do take getting use to the trigger pull for some. However, it will ironically make you a better shot on rifles if you keep up your practice--if you can master a heavy trigger pull and doing a full reset, it sets you up nicely to operate semi-auto pistols and rifles with much lighter trigger pull weights.
Rifles other than .22 Long Rifles are more specialized. Do you want to hunt? Some states have restrictions on what you can use. Do you want to fire at a range? How much recoil are you comfortable with? How much do you want to pay for ammo? Where can you fire it?
Start with a .22 rifle--a Savage 64, a Marlin 60 or 795, or a Remington can be had for well under $200 even sometimes with a decent scope. A Ruger 10/22 can be a good choice and is a bit more expensive--however there are a lot of accessories for it. It is the AR of the .22 LR world. After that, it depends on what you want to do with it regarding caliber and stocks etc. Semi-autos/lever actions/pump actions/bolt actions or even single shots can be useful depending on ammo availability, legal restrictions on ownership, use in hunting, etc. Try again before you buy (other than a .22) because people differ in their ability to handle recoil.
Finally shotguns, they are the old versatile standby and good for areas with a lot of legal restrictions on ownership. They are quite powerful and can be deadly at short range with the proper ammunition. You can also use them with slugs or buckshot for hunting some game, birdshot for bird hunting, and recreation--trap and skeet. You can get everything from a cheap single shot up to a semi-automatic with a magazine if you like. Ammo is cheap and available even during ammo scares and they are affordable. However, in an urban area, it can be difficult to find ranges willing to let you fire a shotgun because of range policies. And you need to practice with it as it does require aiming and you need to know what the pattern is of your shotgun. Even a single shot or double barreled shotgun can be reloaded quite fast if you practice and resemble a revolver in simplicity. Pump actions do take some training to properly operate the action and can be difficult for those with arm issues. Semi-autos are the most expensive and the softest recoiling.
Regarding 12, 16 (rare), or 20 gauge shotguns, the easiest to learn with is the 20 gauge which is versatile, cheap ammo, and lighter recoil than a twelve. However, the energy of the 20 gage compares to two .44 Magnum shells fired at the same time. Twelve gauge is common, heavier in recoil, and more often more useful for hunting. It can be unpleasant firing them with 3 inch or 3 1/2 inch shells or slugs but they do have reduced recoil buckshot for self defense and standard 2 3/4 inch shells are not too bad if you avoid the light stocks. One thing is that you can also buy recoil reducing stocks for some models which can help.
Good luck with your decision, and if you narrow it down, the people at THR will guide you straight if you have any questions.