Everyone here has their own favorite states and favorite species they hunt. Browse the different states and get an sense of where and what you want to hunt.
My advice to a first timer would be Wyoming and antelope. Wyoming is pretty generous with tags, there is lots of public land and tags are not too expensive. Lots of antelope that are pretty easy to hunt and great table fare when you take care of the meat.
Right now Wyoming and perhaps Montana and Idaho would be your cheapest route. Colorado, Utah, Arizona require you to purchase a license before you put in for the draws, in Utah you can still get two years out of that one license if you work it right.
Archery tags are easier to draw than any of the rifle/muzzle loader tags and there are units where you will wait for 20+ years to draw a tag.
Welcome to the site! Read up, watch YouTube videos, but be aware...them videos make hunting look a whole lot easier than it really is! I hunted public land here in NE for four years before I tagged a Muley.
Find a state and an area you feel comfortable with, tags you can purchase with minimal points, or over the counter. Get the right gear -- lots of lists on this site. Search and enjoy. Get the best gear you can afford...buy once, cry once.
Get boots on the ground. Log your hunts, make lots of notes of the area, things that worked, things you observed, hunters you talked to, etc.
Have fun, and post your questions and stories here. Great place to learn and share!
Plan on a few trips. You will have a lot to learn. Pick a state that has OTC tags or tags you can get with 1 point this way you can pick a state you can hunt each year while your learning. Some states take years to draw and you want to have some time hunting in the west under your belt before you invest that kind of time and money.
Research! Like said above do as much as you can. You’ve already started by being here on the forum. Watch YouTube videos in the state you choose to hunt, ask lots of questions and take a look at Taghub.
Do some searches here on the forum. Join groups on social media sites that involve hunting in that state.
Welcome to the forum and good luck!