I started brewing all grain on my first batch. Did a bunch of research, bought 3 15 gal. kettles, 3 blichmann burners, propane tanks and all other related equipment to "do it right". The first few brews were pretty chaotic, theres a lot do remember (or forget!) to do!
After a bach or two, I didnt like the way my beer was tasting, so I started troubleshooting my process. I'm getting better results now (2 years later). Most of my problems were pitching temps, general yeast handling techniques and water chemistry.
That being said, I recommend starting out extract brewing. Get your fermentation/yeast handling techniques down, and brew good beer. Then switch to all grain if you want. If you then have undesireable results, troubleshooting will be much simpler, as you will know that your issue is on the front end.
I brewed many batches changing things on the front end of my process, when the main issues were on the back end.
Luckily, all beers were drinkable, but I'm a perfectionist. Still working towards that perfect batch.
Good luck with whatever you decide!