The first thing I ever made was a band ring from 1.5mm sheet. The second was a hammered one. The third was a bezel set ring.
Once you start having a play, you'll get a feeling for what you enjoy and what interests you. Like others here have said, it's important to get the basics done well (filing/sawing/finishing) before getting really creative.
My first tutor insisted I buy this book, and I've found it a great how-to guide when I've been stuck, but also raid my library for anything and everything they have. This place is brilliant for tips and help though! Enjoy!
ETA book!
http://www.amazon.co.uk/The-Complete.../dp/0871922401
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