I also think something key and important in getting started is finding the right site to play, where staff and players are friendly and will involve you. I've been to a couple of sites where the 'usual' group of regulars stick together
Protective padding has already been discussed, but something that's been over looked is the importance of good footwear. Paintball is very hard on the feet and ankles. It never ceases to amaze me how many rental customers (or more experienced players) , often turn up to a game in cheap trainers. Many will end up with bad injuries by the end of the day. There are plenty of better footwear options for paintball out there... so do yourself a favour and shop around