Though I've attended conferences on DNA and read a bit about it, I really didn't get involved until I broke down and got my autosomal dna done at FTDNA.com.
From my most recent attempt at educating myself, I attended a seminar (in two sessions) of four hours each. The presenter said that right now, the easiest route is through Ancestry.com's autosomal dna program. Why? You might ask.
Ancestry has a lot of family trees. They also have a database of like 3 million or 4, by now, probably, of people who have sent in their dna. They have developed some tools that make it pretty clear how to find out your matches.
Heritage is also doing some kind of wild things and might be really good for you if you have European or Middle Eastern.
I think each of us just has to make a decision and carry through with it and I chose FTdna.com a company I felt like would be a good one for me.
There are also folks working on different programs that will allow you to put your "kit" info in and they will triangulate it or compare it. One of those programs is GEDMatch; you submit a gedcom of your family trees (everyone is supposed to do that) and they have a large amount of folks using them, also. So, I recommend getting invested in this Genetic Genealogy thing. Make sure you menfolk go for your Y-Chromosome study as well as your autosomal. Ladies, get your Mitochondrial (Mother's line) done and do your autosomal. As we obtain more and more people in the database, it will be easier to find our relatives. And our descendants will also be able to have that opportunity to uncover their families and ancestors, as well as cousins.