As Brumfondl said, I'd also recommend starting on a PVE realm while you're learning the game. It's a much more forgiving environment, and you can relax and enjoy it a bit more.
That being said, if you both like a bit of danger, and quite possibly a lot of frustration, a PVP server might be for you! Just avoid the Oceanic Frostmourne server, as it's pretty darn full at the moment.
It doesn't matter so much with PVE realms, but if you do decide to go PVP, it would pay to check out the server stats in advance (ratio of horde to alliance, etc). There are a few websites floating around that provide some rough numbers.
Being on the weak end of a 5:1 ratio in PVP isn't enjoyable in my books, heh :)
On a side note, I'm really sad about the Gladiator warrior nerf, I guess I can't be super OP anymore ;)