WPF or Windows Forms

If you're just starting out, jump straight into WPF.

It will allow you to get starting making rich interfaces using mark-up to define your interface without teaching you the possible bad habits (for WPF) that you'd learn from Windows Forms.

These two are totally different technologies. They do offer some interoperability layers to both directions, but other than that have nothing in common. Windows Forms is more or less a lightweight wrapper on top of Win32/MFC, which means its extensibility in .NET is not that good in all cases. WPF is a new UI framework implemented from scratch. WPF is also much more flexible when it comes to customizing the existing types.

However, at least from my experience, Windows Forms seems to be the more commonly-used desktop UI framework in the industry. Windows Forms can't be used with web development though while WPF offers Silverlight and XBAP applications.

If you have done any UI development before, I'd dare say Windows Forms is easier to learn as it follows more traditional programming paradigms. The programming model of WPF is quite different to this. While WPF can be used in the same way as Windows Forms, most of its benefits are not achieved until you embrace the data binding and encapsulation WPF provides.

Despite stating some points in favor of Windows Forms choosing WPF over Windows Forms would be a no-brainer for me if all you want to do is learn a UI framework. It's superior to Windows Forms in all aspects. I just wish the software industry in general would adapt it on a larger scale! (Though not like anyone writes desktop applications any more since we got the web.)