I'm a big proponent of lessons, and I think it's the best place to start. Find a local PGA pro (http://www.pga.com/improve/find-an-instructor/). Insist on a PGA pro as it doesn't take much for someone to claim they're a "pro". PGA pros have to go through a long certification process.
Your pro will be able to focus you on what's most important right out of the gate. You won't waste time ingraining bad habits on the range. One thing that makes golf difficult is that it's a game of contradictions. To hit the ball high, you hit down on it; to hook the ball left, you bring the clubhead through the ball so it starts out to the right; the slower your swing feels, the farther you'll likely hit it. These counterintuitive ideas are the sorts of things a beginner will (understandably) get wrong. It leads to the player doing precisely the wrong thing to correct his or her faults.
Some people will tell you that they've taken lessons and it just made them worse. This may be due to a poor instructor, but it's most often due to the player not being patient enough. When a pro changes things in your swing it will feel awful at first and will take time for the benefits to show. A change to your grip, for example, can be incredibly difficult to adjust to. You just have to trust your pro.
A good pro can advise you not only on your swing, but also on choosing the right equipment. Speaking of equipment, it's a good idea to have custom-fitted clubs. Even if you're average height, you will likely benefit from fitted clubs (e.g. if you have long or short arms for your height, large or small hands, long or short fingers, a steep or shallow swing, a fast or slow swing etc.).
It's a misconception that custom clubs are more expensive. All the major manufacturers (e.g. Titleist, PING, Callaway, Taylor Made) will build custom clubs for the same price as retail off the shelf. You can also buy fitted clubs at stores like Golfsmith (golfsmith.com) that are very reasonably priced. Let me know if you'd like more info on custom fitting.
I personally believe it's best for a beginner to put in some time with a pro and on the range before he or she gets out on a golf course. It's not only better for the beginner, but it's a courtesy to other players. Most beginners aren't aware of many common courtesies and unwritten rules that other players expect. For example, it's inappropriate to step on someone's "line" on the putting green. This is the line between a ball and the hole. Your pro can advise you on rules, etiquette, etc. A good base of knowledge can give you more confidence on the course. You won't have to worry you're doing something wrong.
To summarize:
-Get lessons from a PGA pro.
-Ask your pro for advice what equipment you should buy.
-Practice before you play.
-Trust your pro.