Hi Shereds and welcome to the forum. Well, you cannot go wrong by selecting a game from an era you enjoy. Many like to start with the Roman era game, Alea Jacata Est. It is one of the least complicated, still tough to play, but the game system is more transparent. Its companion game, Wars in America is excellent if you are interested in colonial America.
I would say choose by your area of interest. There are excellent games on the Spanish Civil War and on the English Civil War. Of course the Russian and American Civil Wars are true studies of these conflicts.
Don't start with To End All Wars as it really takes an understanding of AGEOD games unless you are fascinated by the Great War. If so, buy TEAW, but also the expansion Breaking the Deadlock as the expansion game has many smaller scenario as a great way to learn the game.
If one of the reason you wish to get into AGEOD games is to play others, Pride of Nations is very interesting for multiplayer play, but if you are looking for solo play, the first two listed would be good.