I took a community college class that covered various types of welding, and using a plasma cutter, and then we got to do a final project using something we planned to use. I have very little experience, so take my comments with a grain of salt.
My general conclusions:
- As already mentioned, safety is key. That metal gets really hot, and you have to always know where you are welding and where your body and clothes are. Don't wear contact lenses, and always have the proper helmet or goggles. You need real welding gloves.
- Oxy-Acetylene welding is fine for cutting, and doing farmer-grade fixes, but that's about it. However, you can weld just about anywhere that you can haul the tanks.
- Stick welding can do just about any job, with steel of various thickness, but is harder to learn and can get pretty messy when you are inexperienced (but a grinder can fix most of your errors). You also get into discussions of AC vs. DC and other factors you need to understand. It takes experience to know if you are getting the right penetration and will get a good weld.
- MIG welding is the easiest to learn once you understand the machine settings, and the shielding gas gives you much smoother welds.
- TIG is slower and more specialized, but definitely has its uses. It can also be used for aluminum.
- Plasma cutters are about the most amazing and most dangerous cutting tool I've ever seen. I was able to clamp a straight edge on 1/2' metal plate, and then draw the cutter head along the straight edge at a speed that wasn't much slower than carefully drawing a line. I blew through 1/2" plate without any problem. Not a clean cut, but faster than I've ever done with any type of blade.
If I was going to buy or borrow and welder today I would probably look for a MIG welder in the 140-200 amp range and start to learn and experiment with different thicknesses of metal. Some of these "MIG" welders also have the option for wire feed, which does not use gas. That simplifies your setup, but I think it's much easier to get smooth welds if you use shielding gas. Some of them are also 120/240 volt, so you can do lightweight jobs with 120 volts, and not have to find a 240 volt receptacle.