Start with the MIG. Hobart Handler 130/135/140 is a great little starter machine. The feed mechanism is a big finicky, but once you get it set up it is a great little welder. Under $500 new:
http://www.northerntool.com/shop/too...FaXm7AodxFQAQQ
Northern has a generic version too that looks identical and has good reviews for only $350. Might be worth looking in to.
Threaded Mode