The best first medium is one that is affordable, easy to correct and quick to set up, so you practise more often.
Graphite pencils
A 2B, 4B and 6B pencil, an eraser and a sketchbook teach you line, value and proportion. Every other art form builds on this.
Coloured pencils and oil pastels
Great for children and for learning colour without water or mess.
Acrylic paint
Forgiving, fast-drying and versatile. A small set of primary colours plus white is enough to learn colour mixing.
Watercolor
Portable and inexpensive to start, though harder to control. Invest in decent paper; it makes more difference than expensive paint.
Digital
If you already own a tablet with a stylus, digital art lets you undo, experiment with layers and try many brushes without buying supplies.
What to avoid at first
Oil paint needs solvents, space and drying time, and is better learned once you are comfortable with colour. Skip giant supply kits: buy a few good basics and add as your teacher recommends.