Hmm. Interesting question. I would think that it doesn't really matter since it's your first time. You're probably going to get hammered regardless of what you choose to consume. But here's how it breaks down for me (and this is from years of serious research):

Beer: you'll laugh a great deal. Eventually you won't even remember why you're laughing which will make you laugh even more.

Vodka: Depending on the mix, you might find this a pleasant enough drunk. Stop when you have to close one eye to walk straight, well, semi-straight.

Scotch: Primarily an image drink. It tastes like diesel (don't ask how I know it tastes like diesel but trust me on this one) but unless you plan on wearing an ascot, smoking a pipe and expousing your deep thoughts on Proust, avoid it all cost.

Gin: This is just nasty. You want to know what it tastes like before you order one? Go suck on a juniper bush or a pine tree for an hour or two. Plus with a gin drunk, you can actually light your burps. Interesting yes, but dangerous in the close quarters of a night club or corner bar.

Tequila: Dangerous. Almost every major mistake that I have made (so far) in my life can be related back to a night of TQ shots. There's a point where it moves from fun with friends to some sort of Fellini-esque nightmare. Don't say that I didn't warn you.

Whiskey: Always a good choice. A good Kentucky windage can just cruise right along. Not too nasty and it has a nice way of letting you know when you've had enough. Careful though. A common side effect is waking up in the morning with someone you don't recognize. Believe me. It's happened to me on more than one occassion.

Grain: It's for the extreme drinker. Hats off to those of you who do this. Not me. For me, it's always given me that stupid alcohol courage to try to wrestle a combine or to walk into an inner city bar and say things like 'Rap sucks...'

Wine: Not a bad choice for a first timer. Nice and mellow. Of course, if you're out with your buddies, they may never let you live it down. Expect comments like "Don't forget your purse when you leave Nancy..." and other choice bon mots.

In other words, you kinda gotta experiment and see what works for you.

ADVICE: Eat bread with olive oil before going out. That helps coat the stomach and will give you a little endurance.

Good luck.