I actually have spent the last year learning to program in several different languages. I've concluded the following:
1) Scripting languages are only superficially easier. They avoid all the trouble that C/C++/Java requires for creating variables and data structures. That's good for simple stuff because you don't need the power of real data structures anyway. However, those same, more complex, data structures and systems that C/C++/Java possess become a real asset if you want to do anything very complex. (I know that's not the current script party line, but there's a reason almost EVERY major program is written in C/C++/Java.
2) There is another class of programming language called functional programming that includes languages like Erlang, OCaml, Haskell, ML, F#, etc... that are currently gaining popularity with people because they offer new ways to program that gets around problems being predicted for the future--the major problem being how do you coordinate more than 5000 or so processes at the same time within a program. However, that's a specialty problem that you really should wait to address after you learn the basics. The MAJOR PROBLEM with going the functional route is that, right now, these languages are completely lacking in building easy GUIs and learning the predominant paradigm at the moment, which is object oriented programming. (Yes, I know, OCaml does this, but nobody is really pushing OCaml and it's books suck--everybody is either going Haskell or Erlang).
Having said that, functional programming is cool, but it should be language #3 or so.
3) There are also the lisp dialects. Lisp is really cool and has some great books. It's a multiparadigm language, which means it does functional (i.e. Haskell, Erlang), procedural (i.e C), Object Oriented (C++, Java), and even has elements like scripting languages. The lisp you should do, if you do this, is PLT Scheme, which has a nice interface for programming and plenty of peripherals for GUI development, however, lisp should really be language #3 or #4 to learn, and as far as what you want to do, forget about it.
4) What you should learn is Java. It's very fast, has a great integraded development environment called Netbeans, a great GUI interface called Swing, and can build programs that work at the server level, command line level, desktop level, and even in your browser--the infamous applet. Java has an ENORMOUS body of good literature out there, including some books that seem to get awesome reviews on amazon for game programming.
In addition, there are lots of beginner, stepping stone environments at Java's sight for people who want to ease into programming, and who have no experience at all in doing so.
My suggestion is this. Go to Java's website at sun here:
http://java.sun.com/developer/technicalArticles/young_dev_learning_path/
and read about programming Java. Then, download the Java Development Environment that suits you and have fun. They even start you off programming simple games using Greenfoot, though I haven't actually used that myself.
Good luck. Programming is fun!