After much debate (and a discussion with the very cute clerk at EB Games), I decided to start with BioShock. The game has gotten very good reviews, and while I don't usually got for first-person shooters, the story and amazing reviews convinced me to give it a shot (pun intended). It was worth it. Gameplay is unreal and the story is great.
Now I just have to hold off on buying all the OTHER games I want - at least for a little bit. (Many of them are already on my "to-rent" list.)