Redworm...first welcome to the world of guns and shooting.
You couldn't be in one of the worst states to be interested in firearms. I'm formerly from Illinois. Illinos state gun laws are some of the worst as you may or may not know.
Pardon me if I make it sound like you don't know the laws, but you did mention that you never shot a gun before and I am just assuming maybe you need to know more about the laws there.
If you live in Chicago, Willmete, Evanston and a number of other towns, you can just forget about owning a gun as city ordinances don't allow it.
Other counties may not allow semi-automatic rifles to be owned or used at any ranges.
Forget about ever carrying a gun for personal protection in Illinois. Only the police and gangbangers can carry. Law-abiding citizens need not apply.
The rest of Illinois outside the Chicago area is fine as far as ownership goes as long as you have a FOID card. You will find that you can own any non-full-automatic firearm.....for now. Politicians in IL are always trying to ban guns.
The bad thing about being a shooter in Illinois is the small number of actual outdoor shooting ranges in the northern parts.
There are a few 25 yard indoor handgun ranges and a couple that allow rifles, but if you are a serious shooter and want to shoot outdoors at longer ranges, you will either have to join an expensive sportsman's club which mainly are just clay/skeet shooting or drive up in Wisconsin and go to a range called Bristol where they have some strict rules, but it is a 200 yard range and good for long range practice. You may want to do a search for other ranges in WI.
I don't know how far north you live in IL, but the closest outdoor ranges in IL state itself to you would be Sycamore Sportsmans Club in Sycamore, Aurora Sportsmans Club(expensive) or way further south at Buffalo Range in Ottawa which is a very cool public range with a 100 yard range and a shooting pit where you can rapid fire.
Then you have many more ranges in southern Illinois including the Illinois State Rifle Association Range in Kankakee.
Before you really get serious in buying anything, go to some of shooting ranges. See if the ones that are near you will suit your needs as far as what types of firearms you want to learn to shoot with and if the ones that you do like are a long distance away, are you willing to drive that far just to go shooting.
Go find a shooting instructor. Many gun shops will have some guy there who is an experienced NRA instructor. They may charge something like $50-$100 for a lesson. They will teach you the basics of shooting, marksmanship and safety. Some gun shops have handgun class competitions and you could look into that once you get more exerienced.
Now as far as what guns you should get and what caliber. If you were a youngster, most would say start of with a .22 cal pistol or rifle because it's very light in recoil, etc. But you are 22 yrs old now and an adult and I think you can handle something with some power. You could go with something bigger and not have to buy a .22 and a couple months later have to buy another gun which is more powerful and suited for your level of experience.
For a handgun, if you want a revolver, I would say something like a S&W .38 cal. If you want a semi-auto look for a 9mm. These will produce power, but very low recoil and easy to handle for a new shooter.
For a rifle, whether it is a bolt-action or semi-auto, a good start is a .223/5.56mm caliber. Then work up to a .308 where you can then get into more long range shooting. Some shooting ranges don't like semi-autos such as AR15s and the shooters there are very snobbish to the "tactical" type of shooters. You will not believe how many anti-gun gun shops and ranges there are. You may come by some older, hunter types that will look at you like you are some weirdo or something because you have a semi-auto AR15 or AK47 and can't figure why you need that type of gun for.
I hope I didn't frighten you any from the shooting sports with the way things are in Illinois. If you really are interested, it can be done, but depending where you live in the state will determine whether it will be easier for you just to get into some local indoor handgun shooting or outdoor rifle shooting. The world of shooting may not be as fun and as easy in Illinois as in most other states, but if you have your heart into it, you will be okay.
Or just move out of state.
check out the ISP site for more state laws and FOID card info
http://www.isp.state.il.us/foid/firearms.cfm
P.S. I missed your last post where you mentioned you already visited the iSP site and downloaded the FOID form.
I also see you are formerly fom Florida? Wow!!...not a good move if you are interested in shooting.
But I understand you may had to move to Illinois for one reason or another with family, job ,etc.
Good luck if you do join the Corps. Sniper schools are very difficult to pass and if you do become a Marine sniper, I'm sure you will spend lots of time outside of Illinois and outside the states even.