Fallen Angel's post has about the same advice I'd give you:
http://www.tfproject.org/tfp/showthread.php?t=68175
Licensing requirements will depend on where you live.
http://www.packing.org can give some general rules on that. Also, if a license is required, your gun shop will tell you when you try to make a purchase.
[Edit: Packing.org lists laws related to conceal carry. For general laws for your state, click on
http://www.nraila.org/GunLaws/Default.aspx
and scroll down and click on your state.]
Purchase what you can afford and what you'll be able to shoot where you are. If you live in a large city that has only indoor ranges, buying a rifle won't help you very much. If you want to learn to hunt elk, buying a .22 won't help very much, etc.
For a purchase, the first place would be a gun store. If you're looking for history, try the CMP, if you can meet their requirements (not difficult unless you don't have any clubs around that are affiliated with them). Their address is:
http://www.odcmp.com
You can also try the gun boards but you'll still need a local dealer for an out-of-state transfer. There's:
http://www.gunsamerica.com
http://www.gunbroker.com
http://www.auctionarms.com
to name a few.