Personally, I would get a mare. There are many good ones out there, and you don't have to worry about sheath cleaning! I would get a pre-purchase vet exam though, and agree with the othes about the age. One more thing to look at, though, is how long they have been broke. For example: A mare trained to ride at 3 or 4, then used as a broodmare till *now* would probably not make a good first horse.
Also, since this is your first horse, you might consider asking someone who gives riding lessons to teach you some of the basic care of the horse, unless you already know.
Good Luck!!