Liquid yeast gives you much more variety. I don't know if it's necessarily better than dry yeast.
There are some good primers and videos to be found on making starters, but the Cliffs Notes version is this:
-figure your starter size at
http://www.mrmalty.com/calc/calc.html
-get your yeast out of the fridge and let it slowly warm to room temp
-mix water and light DME at a ratio of 10:1 by weight and bring to a boil for 10-15 minutes
-cool and prepare your starter vessel (clean, sanitize, etc.)
-pour starter wort into the vessel when it's around 70F, give or take a few degrees, cover with sanitized foil, and shake furiously for 30-60sec
-add yeast
-if possible, swirl every (half) hour for the first few hours to get a little more oxygen in there
That's your starter. If it's about 1qt or smaller, you can make it around 24hrs before pitching time and just pitch the whole starter. If it's larger than that, I'd make it about 3 days ahead of time. Then toss it in the fridge 24hrs before pitching and allow yeast to settle. A couple hours before pitching, take it out of the fridge, pour most of the nasty beer off top (keep the yeast), and allow to slowly warm up to pitching temps. Then pitch the slurry.
That's all there is to it. It's actually very easy once you've done it once. The only possible snag is that you have to be very attentive to sanitation while making starters. If your sanitation is spotty at all, I'd advise just using dry yeast for now, as stated above.