Deciding to learn a musical instrument could be one of the best decisions you'll make. But if you don't know anything about music and don't have someone who can help you, trying to decide may be difficult. What if I pick out an instrument and hate it afterwards? What if there are some hidden downsides? What if it doesn't attract the opposite sex like I'm hoping for? For that matter, how do I start without looking like a total knob?
You could go to a local music shop and look around, but those places can be intimidating and occasionally irritating. There's always some random guy there playing bass guitar like he's Bootsy Collins just to show off and, with luck, you'll see my favorite music store patron: the guy who subjects everyone else to the only song he can play over and over. It's usually better to go when you already have a pretty good idea of what you want. Let's go over some instruments so you can know what each offers.
By far the most popular instruments are guitar and piano. This is for a good reason. Their strength lies in their versatility. With a guitar you can easily play just about any song you've ever heard, once you know your chords well enough. The piano was originally built as a composing tool, and was therefore made to be adaptable as well. Lets look at it in more detail:
Pros - It's light and easy to take with you. There's already a ton of literature at music stores and all over the internet. If you want to learn any song, all you have to do is Google search for the song name followed by the word 'tablature' or 'tabs' and you're done. The guitar can cover just about any genre imaginable, from obvious ones to folk, rock and country to other stuff like classical or blues.
Cons - Well, you're fret fingers are going to look ugly after a while, but such is the fate of all string players. Seriously, getting a guitar is a great idea, especially if you don't really know what to get.
I recommend getting an acoustic guitar to start with, instead of an electric one, because it covers potentially more genres and you don't have to lug around an amp everywhere you go. Those things are like bricks suffering from obesity.
Pros - The piano is versatile just like the guitar, and like the guitar, there's been plenty written out there about learning to play. Probably the best thing about learning the piano is that you will automatically learn a lot about music theory in general. Like I said before, it was built as a composing tool, so it's pretty much a mechanical representation of the musical staff. You have no choice but to learn to read music by playing. Also, if you want to make music using a computer, piano knowledge is a must. And hey - playing piano is just classy.
Cons - You can't take it with you. Until someone invents the telescoping keyboard, (I just had an idea...) lack of portability is the biggest disadvantage for the pianist. Getting a real piano is prohibitively expensive and decent electronic ones are pricey also.
Don't think that if you're starting out you should only get either a guitar or piano, though. If they sound kind of dull to you, or you just want to play something unusual to make a unique impression, you can choose several other instruments.
Some instruments work better on their own than others, however. Though learning any instrument is a good idea, something like a piccolo, which was designed to be part of a larger orchestra, just won't be much of a hit at parties. If you want to share your music with others, generally something with a lot of range is better. Here are some more unusual ideas for something to play:
Cello - The cello is a favorite of many and has an incredibly expressive sound. There aren't enough cello players in the world and it's a crying shame.
Banjo - I've been slowly learning to play the banjo myself, and it's a lot of fun. While there isn't much out there besides folk and bluegrass to learn from, I believe the banjo has the potential to play other genres as well. It has a very unique sound that is pleasing to the ear when heard live.
Marimba/Vibraphone/Xylophone - These have many of the same advantages and disadvantages as the piano, since they're structured similarly, but you can make an entirely different impression when playing.
Saxophone - The saxophone has an amazing dynamic range and can play very softly or extremely loud. Once again, it's very expressive and though its generally used for jazz, it has a lot more potential.
Violin - A classic and elegant instrument. It is good on it's own and can accompany in many other styles. By the way, the fiddle and the violin are the same thing; it's all in how you play it. If you like folk and classical music, this is a good way to go.
Harmonica - The ultimate cheap, portable instrument (besides your own voice, of course.) If you happen to be a blues fan, than there's no reason not to start learning.
There are innumerable other instruments you can learn. Things like bass guitar, drums, flute, or horns are great things to learn, but if you're not planning on playing as part of a larger group, you might not be as satisfied with the results. The instruments I've recommended above all sound great both by themselves and when accompanying others. Now, there are people who can make any instrument sound great by itself, so if you're set on playing bass like that guy from Primus, don't let me discourage you.
Once you know which instrument you want to get, it's helpful to simply go to a music store and tell a friendly employee what kind of instrument you want and the amount you're willing to pay for it. In my experience, they usually know what they're talking about and will point you in the right direction. Then you'll be on your way to being the coolest person at social gatherings.