There are a number of options here, but what you really want to consider is teflon vs stainless.
Stainless
Can handle abuse
Can handle higher heat
Need more oil to cook with
Can be a bitch to clean if you let stuff sit
Needs more attention
Lasts longer
Good for some most things
Teflon
Will chip if you blow on it
Dear god please do not put this on high heat
Nonstick, Nonstick, Nonstick
Chips easily — replace more often
Good for most some things
The decision to choose one or the other comes down to what you will be cooking. THings are going to be harder to cook in a stainless pan. That’s just how it is. Nothing sucks more than trying to saute something, and it just keeps sticking to the bottom no matter how much oil you add. If you can only get one, I would recommend getting the stainless which can do everything, rather than the teflon which can do a lot of things, most of which are easier than the stainless, but actually can’t do everything.
If you get a teflon pan, make sure you use a gentle object like a rubber spatula to scrape it with.
You want something with a thick bottom to distribute heat evenly, prevent warping, and prevent your food from getting scorched. If you’re looking for this at Wal-Mart, my friend, you are in the wrong place. Never seen a Wal-Mart pan that didn’t warp.
The size of your pan is also pretty crucial. You want a decent size, something that’s easy to handle and is more versatile. For that, I recommend a 10″ pan, maybe an 8″.
BONUS MODE: Small Teflon egg pan. I know, I know, ONE POT ONE PAN, but if you’re going to go above and beyond, get one. It’ll make life easier … but that’s another blog. I actually got a great little egg pan from GoodWill for $4.
OnePot||OnePan 