From my experiences as a 25 year "professional amateur" auto body guy: get a used MIG welder and an auto-darkening helmet. MIGs can be had for a fairly reasonable price off craigslist and are so easy to learn how to weld with that even I did it plus they can be used with a variety of thickness metal from fairly thin auto body steel to heavy plate steel (if you get a model with a wide range of amperage, usually a 220V model).
TIG would be better but they seem to be more expensive and seem to require more skill.
This ^^
A stick welder is a waste of time. Sure, it welds, but your welds will be ugly as hell and you'll have to do a lot of cleanup. For $100 more you can buy a used Miller/Hobart/Lincoln 140ish amp MIG that will give great results for frame building. Now, if you want to weld up auto frames and such, you'll have to get into the 220v 180amp range, but for tubing a 110v 140amp unit should be fine. Make sure it's able to use gas. Flux core wire, while better than stick welding, is still crappy.
From there, get your helmet, some gloves and wear heavy clothes (cotton based, just in case). Maybe even have a fire extinguisher on hand.
Once you have your set up ready to go, watch YouTube videos on welding and practice. It's really not hard to lay a decent bead with a MIG.
*edit*
Here's a Northern Tool 135amp model that should be just fine for you, and it's brand new.
http://www.northerntool.com/shop/tools/product_200332691_200332691
Even though it's not one of the top 3, these have pretty good reviews.
*edit 2*
If you decide to buy that one, I have a $50 off coupon I can forward you.