For a first try use 1095 or 1084 and mild steel. Has good contrast, welds easily(if you do your part), and makes a pretty good knife with the right heat-treat.
If you get brave throw in a little L6 for a different contrast instead of the mild steel.
Lots of luck. And remember, if you get bitten by the "heat-n-beat" bug you may never get rid of it.
------------------
Dwight
It's a fine line between "a hobby" and "mental illness".