I started out by learning the Blues scale, the Pentatonic minor, Pentatonic major (all very similar) then I learned the 'minor Jazz scale' which I later discovered was infact the Dorian mode of the Major scale. This lead me to the Major scale itself and all the other Modes.

Like everyone else I'd suggest you learn the Major scale early on and not go all around the houses like I did (One of the big problems of teaching yourself!)