I will just agree to what the others said and add this:
Start small, don't even think about starting with an epic Jump and Run - it will not work out, I can tell you.
That probably is the biggest lesson to learn, anything else is just work
Check out the different programming language related sub-forums here, in each of them you will find a pinned topic with many useful and interesting links to get you started.
I personally started with C++ and an SDL-based engine, but if you have no experience I would not advise that. Better start with plain-C and build your own SDL stuff along the lazyfoo tutorials.
Pygame probably is easier to grasp at first, but it does not run that well on the Pandora so you might be screwed when you move onto bigger things (and you can get something simple working in C pretty quickly, too).
Also personally I would never start with anything 3D, it is just a lot more complex than 2D, you might learn more from it, but it most likely is also a lot more work - start with TicTacToe, Pacman or Tetris as WizardStan suggested, then maybe move up to a Platformer with gravity.
Additionally while one usually learns the most from trying stuff themselves, looking at and trying to understand some working code as topor suggested is also a very good thing to do as you get less frustrated (it works already) and you just can poke around (what happens if I change this piece of code or this value).
Basically you should do what you want to do, because that way you will have the most fun and learn more easily, but try to keep your ideas simple in the beginning.