Definitely go with the first Dawn of War and it's first two expansions "Winter Assault" and "Dark Crusade". get a feel for the genre, see what you like, maybe pick up a couple other games. If you want a lot of variety, I'd say get Sins of a Solar Empire and Warcraft 3. All three are technically RTS, but they also are all VERY different and will help you find out what kind of RTS are right for you.
Other good suggestions are pretty much any RTS made by the three devs who make the games I listed, Relic (Dawn of War, Company of Heroes, etc), Stardock (SoaSE, Galactic Civilizations, and Elemental) and, ofcourse, Blizzard (warcraft and starcraft)
EDIT- and for the love of god, DO NOT get any of the "Total War" games until you atleast get a little RTS experience under your belt. They throw A LOT at you, and it can really turn someone off of the whole genre.