I've taught many people how to loom knit and many have exceeded my own skills as knitters though my bragging rights will always be that I can loom knit faster than most loom knitters. One of the questions I get on a regular basis is what looms I recommend. That's a complicated question, considering I have about 25 different looms in my home.
As a beginner, I suggest 2 basic sets of looms. One being a set of round looms for hats and "rounded" items and a long loom set for flat items such as scarves and blankets. Both types of looms can be used for round or flat projects but for beginners, I recommend not learning flat panels on rounds and rounded items on long looms because it will most likely lead to beginners frustration and discouragement. While purchasing your first loom set, avoid smaller gauge looms such as sock looms as well as All-In-One and Martha Stewart Knit and Weave Kit, those are targeted to more advanced users. Also, avoid the Boye branded knitting looms like the plague. Boye took over the market when Provo Craft discontinued their Knifty Knitter line of looms, which was considered the industry standard. Boye's looms are mainly found in Wal-Mart as well as Joanns and though they are easily acquired, the Boye looms tend to split yarn and the plastic tends to weaken over time and the pegs can break quite easily.
Knifty Knitter clones are the way to go for a beginner. Both Hobby Lobby's Classic Knit and Yarnology brands as well as Michaels' Loops and Threads looms are clones of the Knifty Knitter. If your in an area no where near a Michaels or Hobby Lobby, don't settle for the Boye loom at Wal-Mart, just head over to amazon, using the following links.
My first round loom set was the Darice set, it's 9 years old and still as good as new, in fact it's my preferred set for hats because of it's bright neon colors. If you don't like the colors of the Darice set, the Frola Round set a great alternative and there are still a few original Provo Craft Knifty Knitters on the market.
My first long loom set was the actual Provo Craft Knifty Knitter Long Loom set but they are now impossible to find at a reasonable price now that they are discontinued. The best alternative if you're looking to purchase a good set online would be at the following links:
Though your new looms will come with instructions, they will have very few patterns. The book I highly recommend for beginner loomers is called Loom Knitting Primer by Isela Phelps. Isela's book features many project patterns as well as many stitches not covered in the instructions included with looms and countless tips, shortcuts and tricks to make your loom knitting experience more enjoyable.
As for yarn, go with what best suits your budget. I can only advise that you avoid baby, sport weight or "fashion" yarns such as fun fur, cotton yarn or super bulky yarns for your first projects. Many people start off with a worsted weight yarn such as Caron One Pound, Bernat Super Value or Red Heart Super Saver as initial project yarns. My first yarn project was made with I Love This Yarn from Hobby Lobby, to this day I can still say that I love THAT yarn.
So there ya go, your first steps to loom knitting. My honest recommendations. If you have any questions regarding my suggestions or loom knitting in general, please drop me a line.