I suggest you start w/ Matt's check list first, because w/ most things woodworking, "IT DEPENDS". If you don't already have a particular project in mind, and just want to build something out of better wood, I would start w/ something simple and a pretty basic wood. Maybe a simple stool, or a box, and use Poplar. It's fairly generic and relatively inexpensive.Several things will inform your wood choice. Start by asking yourself:
What do I want to build?How strong does it have to be?What design style (Shaker, Mid Century Modern, farm house, etc.) will I use?Where is it going to end up?Will using a particular species require me to paint/dye/stain it to fit in with the rest of the furniture in the area?