To wind it back a touch (although the others make very good points) - the first thing I teach in this ballpark would be the minor pentatonic scale, followed by the other shapes for the pentatonics - 5 in total (CAGED Shapes you may be aware of from the different voicings of chords?)

The pentatonics are easier to learn as they have fewer notes, and are easier to fit over a rhythm track for improv for the same reason - almost no chance of hitting a note that isn't in key and creating a mess! It will probably be more fun for you as well - you'll be able to start using them musically almost immediately once you have the patterns under your fingers.... The 5 patterns link together so you can blow from one end of the fretboard to the other and start building runs as Superhuman suggests.

Modal stuff is where you want to go, but I think the pentatonics are a better place to start off from. Having a read on diatonic harmony, and having a look in the theory section of this forum will also help you...