There are a number of different ways to cast on your knitting. I was originally taught the English version of Knitting On. Later I learned the Cable method and this is what I prefer. The method you use is largely a matter of personal preference, and I will be posting a number of YouTube clips to let you have a look and choose for yourself.
Knitting On: There are two versions of this method. The English version is right-handed, and the Continental version is left-handed. It is a versatile selvage, being soft when worked through the front of the loops and firm when worked through the back of the loops. It can also be used to cast on extra stitches in your work, either at the side or over buttonholes.
Cable Cast-on: Knitting between the stitches to cast on gives a decorative and elastic selvage. It is well suited to ribbing and gives an attractive edge for socks and hats.
One Needle (or Tail) cast-on: This method is firm, yet elastic. It can be quite quick and is often recommended for beginners.
Single Cast-on: Single cast-on is another one needle method, and is also very good for beginners. It is very quick and simple, although it can be a bit difficult to work evenly off the first row. This method gives a very fine selvage which is particularly suitable as an edge for lace.
There are other methods of casting on, but I think these are probably the most common. Please take some time to check out the YouTube clips. You can experiment with some scraps of wool and get a feel for which methods feel most comfortable for you. It is also worth thinking about what kind of edge will best suit the work you are planning to do.