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I highly recommend the auto-darkening helmets. With the regular kind, you can't see a thing until you strike an arc (often in the wrong place). You don't have to worry about the helmet not darkening in time, because the most harmful UV rays are blocked whether or not the helmet darkens. A good helmet will let you adjust the darkening level and possibly the response time.
I have a Millermatic 135 welder and I highly recommend the Miller brand. Everyone has their pet brand, Hobart, Lincoln, Miller etc and with few exceptions, all the US-made stuff is very good. I do mostly reverse polarity gasless welding. Last thing I used it for was to weld a wideband O2 bung into my Porsche's downpipe. Gas will give you a cleaner weld, but for exhaust work, who cares?
Also make sure none of your skin is exposed at all when you weld. The UV rays from the arc will actually give you a bad "sunburn".
Weld on a pile of scrap before you do anything critical. You'll have to get used to adjusting power and wire speed.
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