I started by cutting down some crappy old pine 2x4s (or chunks of cedar limb that I found on the side of the road) and turning some of the basic woodturning shapes - coves, beads, bevels, w/e. When I was done butchering a blank, I tossed it in the burn bucket. When my confidence was higher, I glued up some scraps of oak and took a stab at something that was worth keeping, like small lidded jars, candle sticks, tops, etc. When my confidence was even higher than that, I drove 45 min out of town, bought some over priced exotic wood, and started turning things to sell.
By far, I think the most important thing that you can make in woodturning is shavings. Get out there and let your hands learn how to do it. :)