Welcome to your new addiction! I would suggest just a simple worsted weight yarn, nothing furry or feathery, and yes, it will say worsted on the label. A size 8 metal needle is good to practice with, too.
There are a billion yarns to choose from down the line, and a wide range of needle sizes, but if you start with the basics, you'll learn best.
With the videos and people here, you can't go wrong!