I've been into this stuff for roughly 6 years now. So far I've changed a fair bit and came to see things very differently - partly from just life, of course, but also very much through this path. The first year or two were very interesting and challenging times as I tried to figure things out, adjusting to ideas and practices I'd never encountered before and often found very confusing at first.
Looking back on those first steps, here's some of the things that might have helped me find my bearings quicker. If you're starting to be interested in Buddhism, maybe you'll find this helpful.
There are various options for where to start. IMO the most important thing for a beginner is to learn to relax, and make practice a habit. This has all you need to get a shamatha practice going: http://www.wildmind.org/mindfulness. Better 15-20 minutes every day then an hour intermittently.
There's no rush. Don't think you're a failure for being 'bad' at this. Meditation is the process of training your mind to be more focused than before. Someone who wanders into a gym for the first time and can't lift like a bodybuilder hasn't 'failed'. Saying 'I can't meditate, I'm too distracted' is a fundamental misunderstanding of the process. The whole point of going to the gym is to get stronger. So what you can't lift twice your body weight yet? Do the practice each day, enjoy it, and see how your mind changes.
Try to resist the urge to switch practices too much, or think 'oh this looks cool', 'wait this seems more advanced', 'oh actually this one'... You'll want to try out different things until you find your groove, but give a practice at least 40 days. And don't think that there's some practice out there that fits you perfectly and will make you instantly a Buddha.
Focus on the foundation.
When I first started looking into these things, I tried to learn everything at once. In retrospect, it's much better to leave emptiness and Buddha-nature and so on to the side until you have a reasonable understanding of the basics underpinning them. Focus primarily [not saying it has to be exclusively] on Theravada/the first turning for a while. Right now I find 'the basics' suit me fine anyway, and others who do practice Zen or Vajrayana or whatever will tell you to learn and respect the first turning anyway. There's no rush to understand everything - get your foundation. Nobody is going to make you sit an exam in two weeks.
Learn about the Four Noble Truths. Does 'dukkha' really mean 'suffering', or something more sophisticated than that? What is dependent origination? Are 'craving' and 'desire' the same thing? What is 'sense craving', 'craving for being', 'craving for nonbeing'? It's important to resolve any doubts you have about anatta (you've probably misunderstood something). Why is "what gets reborn" a misguided question? How does all the theory tie together and link to practice? Ask people questions!
Translations and reading.
If you're reading an old - or even a modern - text, it's using English to get across the meaning as well as possible, and it won't be 100%. There often aren't exact English equivalents for key terms. A lot of people get thrown off by 'suffering', not realizing that this isn't an ideal translation for 'dukkha' because English doesn't have an equivalent word. It can be a good idea to check alternate translations sometimes, and look up the original terms.
At some point you'll probably want to read the Dhammapada. For some reason there are really bad high-selling translations out there which really twist the meaning. Two excellent translations are Acharya Buddharakkhita's and Gil Fronsdal's. Go only for translations by practicing Buddhists who know Pali.
When it comes to the rest of the Pali Canon, you only really need the suttas: IMHO, the abidhamma and commentaries are more trouble than they're worth. http://www.thedaobum...s-commentaries/ When it comes to modern writing, I recommend Ven. Thanissaro and Daniel Ingram.
Assumptions to watch out for.
You almost certainly carry a lot of preconceptions from pop culture's version of Buddhism and from your own ideas about all sorts of topics.
Many of them are so ingrained that you don't know they're there or think that they're just obviously true. For example, when I first looked into Buddhism I took 'no-self' to mean 'no individual self because we are all one' and 'dependent origination' to mean 'because everything is connected we should identify with the whole' - essentially 'there must be a self really' and 'a spiritual tradition must have some sort of ontological absolute'.
Reading, asking questions, and most importantly doing practice will gradually set this straight. Be open-minded, curious and skeptical. You will often assume that you understand something fully, or think 'well this is just saying an obvious thing everyone knows', and then over the next few years come to see whole new angles and depths.
I.e. this is primarily about first-person experience [phenomena], not the nature of external reality. This principle will help you understand why Buddha rejected certain questions, like the origin of the universe, as fundamentally beside the point. It will also help you see the theory in a much deeper and more practical light. For example, instead of seeing impermanence in terms like 'someday the sun will run out of hydrogen' or 'the seasons change', see it in terms like 'this itch on my elbow is actually made of many brief flashing sensations'. If you can see impermanence like that, you'll gain the level of insight needed to awaken.
I spent a lot of time confusing myself trying to figure out how the mind relates to the body. It took me a long time before I thought to ask myself what I was really hoping to get out of that.
Practice > intellect.
I'm not saying that intellectual understanding doesn't matter at all - a lot of the advice here is about it. Your intellectual understanding helps prevent you completely getting the wrong end of the stick, guides your practice, clears false ideas and doubts out of the way, and gives you confidence. This is all important, but you can't think your way to awakening.
If you find yourself getting stressed about whether X or Y is true, or stressed about a doubt you have over some arcane bit of doctrine that you don't know how to apply to practice anyway, maybe leave it aside, at least for a little while. If you find yourself just having to argue with someone on the internet, or defend yourself against someone arguing with you on the internet, take a breath, cultivate some metta, and let it go.
You can do this!
Don't put the jhanas and awakening in a magic box labelled 'someday, in a far-flung land of mystery and wonder'. A lot of people - past-me included - by default, without quite thinking about it, treat the attainments described in the texts as things that they don't expect to happen to them, not really.
People meditate for 'calm' or 'clarity' or 'insight' - all well and good - but don't actually aspire to personally experience the jhanas or stream-entry. Which is a very strange thing, isn't it, because the Buddha wandered around for 40-odd years teaching people how to get awakened.
Of course there is a sense in which trying to 'get' jhanas like they're trophies is spiritual materialism, and who 'gets' awakened anyway, yadda yadda yadda, but don't throw out the baby with the bathwater. You can do this!
What do you wish someone had told you when you'd started out?