Not sure which one to learn first? It is a fair question. And while there are many to choose from, the most commonly used are R, python and SAS. Personally, I'd suggest R first. It is free, is easy to learn the basics, and is just a good tool to know for data science use. And we've outlined some great starting resources to get you started: Data Science Resources at Realized Design
If you'd like to read a well written, fairly comprehensive comparison between R, python and SAS, check out this posting: R, Python or SAS: Which one should you learn first?