As a first project scarves are definately the way forward, and i have made several scarves! Most of which I wear, some have been experimental exercises. I am a big fan of the shorter scarves that can be worn like a tie. They are more wearable and faster to knit! Add buttons or use fancy yarn to get a scarf for every outfit.
In a more experimental fashion, scarves are great for trying out new stitches or patterns, colour changing and other techniques. Although, i have to admit i don't wear this one so much. I do recommend trying it as a 'freestyle' exercise.