paul-
do you play guitar?
building a fuzzface is an awesome first project:
1. its cheap to build.
2. its easy to make work.
3. its easy to make it sound cool.
4. its easy to understand how it works, there is excellent documentation about it online.
5. its easy to find support building it, everyone has built one.
6. its battery powered, so you dont have to deal with power supplies.
it will also give you a good taste of metal work and putting it in a box and how much (un)fun that might be.
after that you can jump into a more complicated project with a good perspective about how much you are biting off and go at a good pace. Looking at the projects here, some may seem really complicated, looking at using PCB's can seem intimidating, but its really not very difficult once you get used to it, its the getting used to it part where the learning curve can be brutal out of the gate. A fuzz face is a nice project to sort of break the ice and there's crazy satisfaction to build one, plug it in and bust out that first phrase on "satisfaction". Big party.
dave