My suggestion is always to buy the game of the era which most engages you. For me it was the American Civil War, with Wars in America a close second.
There are really two game systems:
1. Simple supply games, AJE, WIA, WoS and English Civil War; which use a less complex, yet maybe more challenging, system of supply and typically do not use army/corps formations; instead, leaders just join stacks of troops.
2. Chains of supply games, all the rest, which allow supply chains to forward supply, most with the use of rail supply. These games use a army/corps structure for organizing units and commands.
The reason I say to select the era which engages you flows from the historical accuracy of AGEOD games. If you know the history, you will have a better sense of best play options. However, let me make a few specific suggestions:
1. AJE and WIA have a similar complexity. Typically low unit density and a very direct focus to the game. Both host several small scenarios for learning which are challenging, but brief. I like WIA best because I love watching the wars my ancestors fought in with an occasional ancestor appearing as a leader in a game. But if you love Rome history, these games challenge you to dig into that era.
2, CWII and Rise of Prussia are more complex. If you want to avoid learning production at first, then ROP is an excellent game to learn the complexities of army formation and coordination. If you want to add production to what you are learning, then CWII is a great game to learn. It has some battle games to just learn how to organized and coordinate your forces, but the scope of the grand campaigns are truly fun. I chose CWII's predecessor as my first game because I have gamed the American Civil War for decades, including writing a college paper on the subject; CWII is the first non-board wargame to get the Civil War right.
So my thoughts.