I'm a beginner myself but I'll take a shot at answering your questions.
Originally Posted by pixelord
1. Pro grade doesn't always have to be slide film. There is also pro roll (negative) film. From what I gather slide film isn't as forgiving as negative film with regard to exposure mistakes. So starting with negative film might be better.
2. If you're looking for B&W the Arista films are inexpensive but good quality. Arista Premium 400 ISO, which is suppose to be the same as Tri-X would be a good all around to start with. You get both inexpensive and professional. You can find the films here: http://www.freestylephoto.biz/index.php You could also try TMAX or Ilford B&W films. The only pro color film I've got experience with is Portra, which has a nice color pallet for portraits. The colors aren't as saturated as some films. Ektar will net you more vivid colors. Either of those films would be good places to start.
Really, as has been mentioned, all the films are good. It mostly depends on what you like. The only way to find out your personal preference is to try them.