As a relative novice to the cigar scene myself I have found that there is a lot of merit in finding a quality local cigar supplier - not someone who sells cigars as well as lighters, cigarettes, bongs et cetera...and have a chat with them about how to choose a cigar and the relative merits of various styles.
The vendor should be able to give you some good advice not only about how to choose a cigar but also how to smoke and enjoy one (there are some very good tips to be had).
If you are going to be halfway serious about smoking a decent cigar you don't want to (as mentioned above) be buying any cheap, old or poorly stored product - my method has been, after some serious consultation with my local cigar man, to choose a style of cigar and work my way through a range of different brands all in the same style to see which one I enjoy the most.
I have chosen the "Petit Corona" style, which is an approximately 20mm diameter (they are actually measured in ring sizes) and roughly between 100mm and 120mm long.
A good enjoyable smoke of one of these can take between 40 - 60 minutes.
So far I have tried Petit's from "Bolivar", "Monte Cristo", "Hoyo de Monterey", "Punch" and "El Rey Del Mundo".
Up to now my favourite is the "Punch" followed by the "Monte Cristo" - both of these cigars are very good choices for novices.
Obviously they are all Habanas (product of Cuba) and are worth the money if that's what you want to spend it on - all of these have ranged between $20 and $30 a cigar; at the end of the day it's about how much you want to get into the scene and what you are willing to pay, but with cigars there is absolutely no substitute for quality.
Cheers.