First the brand. I use and recommend the Flying Dutchman brand of blades. The blades that come with most saws are not very good. I'm not saying you won't be happy with other brands but I know this brand is quality stuff. It's fine to try different brands and find your own personal favorite but if you want a good place to start try the Flying Dutchman brand.
I buy my blades from Mike over at http://www.mikesworkshop.com/
Mike sells to thousands of scrollers and many of the pros use his blades. Trust me when I say you will be happy with Mike and his service. The blades are great and the prices are good also.
Now for the type of blades. I am a minimalist when it comes to blades. I probably cut 90% of my projects with a #3 Scroll Reverse and a #5 Scroll Reverse. I recently started using the Ultra Reverse blade from Mike. The difference is that they have a bend in the blade to designate the top of the blade. This is very handy especially with small blades.
If you are just getting started buy a good quantity of the Ultra reverse blades. Buy mostly #3 and #5. Then if you cut thicker woods buy a few #7 UR. That's going to get you started. You can cut nearly all the patterns on my blog with these blades.
After that you can start looking at the specialty blade. If you want to cut portrait style patterns then look at the spiral blades. I'm not a big fan of spiral blades but they are the best way to cut Portraits.
There are also blades for cutting different materials like Corian, plastic and metal. When you want to try these materials make sure you pick up a few of these specialty blades to make the project go well.
Many scrollers love to cut puzzles. Puzzles require a very thin kerf blade. If you remove too much material in the kerf the puzzle pieces won't fit back together well. The Flying Dutchman Superior Puzzle blade works perfectly. I suggest you buy a few of these blades and give puzzles a try. You will probably get hooked on making puzzles. They are fun and people love to get custom puzzles as a gift.
As you get more comfortable with your saw you can slowly experiment with different blades and ad more to your collection. Mike is an excellent source for blade knowledge. If you have questions just drop him and email and he can lead you in the right direction.
DVD and the 2013 update DVD at this link. DVD #1 is $20 and contains over 1,100 patterns. The 2013 update DVD is $7.50 and has another 178 patterns.