Rosey,
What all of the others (and many of the posts to come) contain great advice. The owners and operators here have major experience and know what they're talking about when it comes to their machines. I'm not qualified to give you direct suggestions as I'm not an actual owner (I'm in college), but I will give you as much information as I can.
Training: professionally, I have to tell you to invest in a training program of some sort. Bobcat, especially, offers a comprehensive training program and video, but all dealers should offer training in some respect. In that note, then, it might be a very good idea to "test" the patience of your salesman by asking a few questions -- and see if he's actually interested in helping set you up with a machine. I don't suggest trial and error (unless you have a few acres to play with, ambulances standing by, and won't be sued by your contractor for screwing up his project), but if you feel confident in learning ON the jobsite, well, that's your choice. I don't advise it whatsoever.
As for the actual machines themselves, there's a bit going around the industry right now. What you want to do with the machine, however, dictates what you get. Before you decide, I strongly suggest you try out a few loaders and see which you like. There are a few threads here and on other forums that have quite a bit of information from people looking to buy a skid steer (and most of them also did decide on one and post their reasons why); you might search those threads to see if something piques your interest. Remember, though, what you want to do dictates what machine to buy. Anyone here can tell you what machine they feel is best (heck, just read my user name), but the machine that is for you is one you feel comfortable working with and on. It represents you, and if you're not quite at ease with a particular model, try another one. (This is basically to say, figure out what jobs you'll be contracting before you buy the skid steer. If you want to handle stone, a used Bobcat 743 isn't going to cut it. If you want to dig utility trenches, you probably won't need a skid steer to begin with.)
Best of luck and keep us posted.