Welcome aboard.
Well the first question to ask yourself is "what will I use it for"?
If it is for general purpose then you won't need a bunch of lumens. If it is for searching for a lost dog... lots of brightness.
Perhaps a multi setting light would do both.
Next, your budget.
Then fuel.
Will it sit a lot? If so ensure you either remove the batteries or know that some have a 'parasitic drain' similar to the tv that always pulls a little juice for faster startup.
Do you like simple, like an old side button Maglite? Or perhaps prefer a switch on the tail end.
What size is important?
Will you need close up light or distant, or both?
Around here we reccomend having a backup light as well.
+1 on that.
Some of the entry level quality LED lights that I recommend:
Key chain size - Maglite Solitaire LED - runs on 1 AAA cell.
EDC/pocket size - Streamlight 1l-1AA - runs on either a single CR123 or AA (will also run on a AAA in a pinch). Has a pocket clip that can also attach to a hat brim to work as a head lamp can be programmed/customized using Streamlight's ten-tap system.
Winter coat pocket/glove box size - Rayovac 300 Lumen "Indestructible" 2AA - very bright and rugged; has 2 brightness levels.
- Maglite 2 or 3C ML25 - basically a fatter version of the LED Mini Mag, single mode twisty. I like the size of the 2C running Eneloops, but if you intend to run C cells the longer running 3C version is probably the way to go.
Full sized - Maglite ML300 3D cell or ML50 3C cell - both have electronic side switches and 3 modes which can be customized with 4 programmable function sets.
I also highly recommend investing in some AAA/AA Eneloop batteries and a good smart charger. C cell lights are easy to run on AA's using a simple DIY spacer tube and can even be used in D cell lights with 3 AA to D parallel adapters.