You could start with Red Hat 9, if you want to install Linux on your hard drive, or just run Knoppix from a CD without installing.
Both, and more, are available for download
here.
If you're looking to buy the CDs from a store, either pick up Red Hat for Dummies (comes with CDs), or get Red Hat or Mandrake. Be forewarned, Red Hat will be discontinuing support for many of its products in April or May.
I saw Mandrake 9.2 came bundled with one of the Linux mags this month (LinuxWorld or Everything'sLinux or some such title); you could pop into a Borders and see if it's still on the shelf.
Good luck! Have fun!
edit: On second thought, stay away from the Mandrake 9.2. I do believe it has some hardware issues.