Being in the business I'm a bit biased, but I can throw a few things in.
As mentioned above figure out what you want a phone
for first, then look at the phones.
Also as mentioned, check who's got service in your area first, then check out their websites for information.
Also most companies have a short test/return time. (my company is 15 days) Use this to test it out, go where ever you may want to use it, see how it does. Regarding coverage in buildings/homes - there are two factors here - how close towers are and the make up of the building. Cell phone companies do not guarentee service once you are in a building. (I get crap from my wife on a daily basis almost, since ours are bad in the house. :-( )
Make sure you like the phone, cause unless you want to spend $$$ you will have it for at least a year.
Also since its you first one, pay the money for insurance that covers loss, because it really sucks to pay for service when you don't have a phone to use with it. (i've seen it happen) You can always cancel the insurance down the road after you are used to keeping up with it and taking care of it.
When you go to the store know what you want and be prepared to hear a sales pitch, some of the sales people at stores are as bad a car salesmen.
Also, depending on your credit you may have to put a deposit down, that you will not get back for a year or could lose if you don't make your payments or are late all the time.
Let me know if you have other ?'s and I'll help best I can.
BTW - I work for verizon wireless doing tech support for advanced data devices (Blackberry's, Treo's Etc)
JD