Altho I would suggest starting with the C major scale as it is a foundation of many things one of our instructor has made an amazing series of tutorial on the pentatonic scale. From what I understand you seemed like a guitarist that what's practical application of those scales right? You'll get just that with these series of tutorials.

Here's some great tutorial from Christopher Schlegel

http://www.guitartricks.com/lesson.php?input=10347&s_id=296
http://www.guitartricks.com/lesson.php?input=9940&s_id=217
http://www.guitartricks.com/lesson.php?input=10019&s_id=232
http://www.guitartricks.com/lesson.php?input=10023&s_id=244

After these tutorial you can also look into the blues tutorial series of Christopher they're also great.