The Joy of Handspinning contains videos to help you see how to spin with both a wheel and a drop spindle.
Drop Spindles cost $10-20, but Spinning Wheels cost hundreds (many are $400-600). I think that it would be easier to maintain a rhythm with a spinning wheel, but I decided that it would be cheaper to try a drop spindle first. (I don't really have space for a wheel at the moment anyway!)
I purchased a drop spindle from Main Woods Yarn & Fiber, and I am very happy with the kit. There are 4 different colors of wool for me to practice with, all for under $30! I could not figure out with the leaflet how to spin the spindle and pull out more yarn from the hank at the same time, so my yarn is fairly over-spun. I doubled the yarn over and it turned itself into a two-ply yarn without needing to re-spin it. So from my first attempt, I have accumulated less than 5 yards, but I would like to keep trying. I've started reserving books from the library to understand more about the process, and to get tips to improve my technique.
Mind's Eye Yarn in Cambridge offers 1-on-1 spinning (and knitting) lessons for $12/45 min lesson. There are also group classes people can take, where you can get help on your projects. If the books that I've reserved from the library fail to help me improve, I might try getting help from a real person.
I doubt that I will ever be able to own my own sheep... but who knows? I know that you can purchase wool fresh off of the back of a sheep and deal with all of the cleaning, carding and preparations yourself. Or maybe Angora Rabbits are worth a try...
(My first attempt is on the right, my second is on the left. I am already improving!)
The book Start Spinning: Everything You Need to Know to Make Great Yarnby Maggie Casey was a good resource for my first few attempts. Reading this book strengthens my suspicion that a wheel can be a bit easier, but a drop spindle is cheaper and a common way to start out. The images are clearly laid out, and the step by step instructions (text and images) are helpful. The book explains about the different types of fiber you can purchase, different methods of drawing out the yarn, carding, troubleshooting and more. There are even some handy tips for plying. If I ever decide to try spinning on a wheel, I will definitely have to check this book out again!