starting with a .22 at the range is solid advice but I just wanted to suggest that you convince a friend or 2 to go to the range with you and you both rent a different caliber. First time I went with my cousin and two uncles and I was able to try out a .22, 9mm, .357 revolver, .40, and .44 which I felt was a great way to start.
the .22 is a great intro gun but imo is not that fun to shoot because it feels like you aren't even firing a real gun, I've had more kick back on a pump pellet gun. It also sounds like a pop cap gun going off and with other people at the range firing bigger calibers it will seem like you don't even need the ear muffs if it weren't for the other people.
If you can get somebody to go with you I suggest getting the .22 and a 9mm or .22 and whatever gun/caliber you really really want to try and trade back and forth. Just call ahead for pricing because the bigger calibers have more expensive ammo, I suggested the 9mm because the ammo is still cheap but still feels like what you expect a gun to feel like when you fire it.
I have wanted to get a gun for a couple of years now but I am still convincing my GF. She has said she is willing to go to the range but there is always something she would rather be doing so it hasn't happened yet. She is afraid of guns because her mom is afraid of them just like roaches. If am gone for a night she puts a chair against the door, but the stupid thing is that because of her fear I know for a fact that if there was a home invasion attempt and even if the chair worked her first words would be 'we need to get a gun' because the fear of that situation would trump her fear of guns and and having the gun would provide a feeling of security