Instructions
Get your license, if you don't already have one. The ARRL website has plenty of information for prospective hams. The ARRL can also help you find a club in your area that is eager to welcome you into the ham radio community.
Determine your budget. What do you want to do with your first ham radio? For around $100 you can get a nice 2 meter (VHF) HT that will get you on most of the repeaters in the U.S. A dual bander (VHF and UHF) will not only open up more repeaters for you, but also allow you to work satellites from your backyard. Dual band HTs cost quite a bit more than basic 2 meter rigs.
Read the reviews. QST magazine, published by the ARRL, is available by subscription and in many libraries. Every month the engineers at ARRL report test results on the newest ham radio equipment. If you join the ARRL, you will have access to back issues on the web, enabling you to research HTs. Also, visit the reviews section of eham.net.
Check out the websites of Gigaparts, HamCity, CheapHam, and Ham Radio Outlet. These sites are competitive and between them, you will find the lowest price on your first radio.