The safety class is always a good idea.

I would have to say go with a .22 rifle. You could get one that is fairly basic or a decked out AR style, depending on what you want to spend. The good things about it are that it's cheap to shoot, you can shoot them at most (every one that I know of) indoor ranges and always at outdoor ranges, if you decide to take up hunting you can use it for a lot of the small game critters in CO, and (let's hope this doesn't happen) if you decide shooting is not for you there is usually a pretty good market out there for used ones.