speed is dangerous and highly addictive. I've got friends who've gotten into it way over their heads (stealing from their friends to support their habit), and I don't plan on ever doing it.
stay away from any drug you inject. The risk of infection is too great, and those kinds of drugs are also very addictive. If you don't want to shoot something up more than once, I suggest you don't do it at all.
cocaine is expensive and addictive, a bad combination. I was going to try it once but the hookup fell through and I took it as an omen. I've also been told stories by friends who saw someone's nose literally fall off after snorting way too much. That alone is a lesson in moderation.
I've done nitrous once (outside of the dentist's) just to try it. It's a pretty funny experience and everything seems to echo, but it lasts no more than a minute, and you look like a complete fool when you're on it.
Shrooms can be fun, but too much will depress you. check out
this thread in tilted living for more shroom info, I posted a lengthy bit of advice regarding them. The visuals come from the caps, and the body high from the stems, which might explain some other tfper's experiences mentioned in this thread.
I haven't done acid, but I suppose I'll try it someday. I've heard it's similar to shrooms, with more intense visuals. A safe environment is all I can recommend. In my senior year of high school there was a party where a guy on acid did a swan dive off a balcony, thinking there was a pool underneath.... there wasn't.
I've heard nothing good about DXM or ketamine (in fact mixing DXM and ecstacy can be lethal). I don't plan on doing them and I wouldn't recommend them to anyone.
Ecstacy can be a great experience, and make you feel a lot better about the world as a whole. Before I took it I read as much about it as I could. dancesafe.org has a great slideshow that shows exactly what it does to your brain. The damage occurs when you're coming down (flooring); seratonin is taken back into the neuron via reuptake transporters, but along with the seratonin goes dopamine, which is bad for your seratonin neurons. To make things worse, the dopamine is broken into hydrogen peroxide, which is poison for the neuron (and causes the damage to the cell). To avoid this damage, take an MAO-B inhibitor like prozac when you start to come down. Be sure your source is legit, there are a lot of bunk pills out there that can do serious damage to you. just remember to stay hydrated. Also, seratonin levels take a minimum of 5 days to return to normal without the use of 5-HTP (tryptophan), but I'd limit the frequency to once a month.
The only problem with weed is it leads to a lack of motivation...
As much as i understand your desire to experiment... I'd stick with the less addictive substances.