Go subtitled. I say this not only only because I'm a purist (watch
Das Boot in German, watch
Pan's Labyrinth in Spanish, watch
Aachi and Ssipak in Korean etc), but also because the anime dubbing industry has been in a lot of trouble over the years. Due to the industry not making the kind of money it used to, so many of the studios have closed down due. This means not much anime are getting dubbed these days, with a huge amount of anime only being viewable subtitled.
What I'm saying is, in the long run, it would be best to get used to subtitles right from the word go. Yes, it seems weird at first (we've all been there) but if you're used to subtitles, you have more choices available to you. And hey, you can hear the original voices as the director intended, without the hammy English voices to boot!
Also, yes,
Perfect Blue is NOT an ideal "baby's first anime" title, especially since most people who've never seen an anime all assume it's all porn and weirdness.