Well, of course there is only one place I think anyone should ever shop online, but we do have some cool features in place for aspiring cigar-nerds who are trying to develop their palate. For starters, we sell single sticks of everything that we carry, so you can mix and match to your heart's content, like the biggest B&M ever is sitting right on your laptop.
Additionally we have a Build Your Own Sampler item where you can make your own custom 7-pack sampler. I picked out 60 or so different cigars to be options, and you can pick any 7 for $34.95. They're all in the mid-level premium range, or ones that go for $7-9 individually on the site.
http://www.pipesandcigars.com/mayoownsaro.html
With the plug for the company I work for out of the way, I'll just echo what everyone else said about finding what you like - try everything! Do some reading, and give a try to what you think sounds good. Don't get yourself tied down early to one or two brands with a big buy, start with variety and then narrow it down. Samplers are good too, but be careful and make sure you're getting a good one. If you're spending say $40 on a 10 or 12 cigar sampler, but you could spend, say $50 or $55 to pick out 10 or 12 cigars that you REALLY want to try as singles, it'll probably be worth the extra dough in the long run to be sampling exactly what you're most interested in, and hopefully find what you want to buy in bulk for savings faster.
Another suggestion I'd make is to find a frequent online reviewer who you can identify with. Once you've smoked a few cigars that you really enjoyed, look for reviews on those smokes. If you find one that seems to agree with your impression of said cigar, keep following his/her reviews of stuff you haven't tried. Next time s/he falls head-over-heels for a cigar, chances are you'll enjoy it as well.