It maybe depends on what kind of music you like/want to play. I taught myself guitar first but I think a keyboard is good for beginners. They say you get a better visual idea of how notes and chords work together from learning keyboard first compared to other instruments. Like >>3 said, go for a slightly bigger one, because you'll feel limited with less than 4 octaves. You can probably find half-decent Yamaha and Casio keyboards in pawn shops or the like.

You can get other cheap instruments that are fun to jam with, I like to play my melodica along to reggae and ska tunes, and jam along to the Pogues or the Dubliners with my penny whistle. I found an old banjo in a charity shop and learned Farm Boy from Final Fantasy 7 and was very satisfied :3