I would recommend going for an all in one kit.
(Note that I am biased towards the normal Netduinos rather than the go.)
I think a good kit should have most of the following:
A bread board, Jumper wires, selection of LEDs (including a 7 segment or matrix display), an LCD module, switches/buttons, potentiometer(s), some analogue sensors such as flex resistors, maybe an IR range sensor, an RC servo, some transistors, a relay, a sounder, and a shift register.
The most important item though is some simple lessons on how to use each one and suggestions for combining them. A good book will give you the sparks for the ideas of where you want to go next.
As for the choice between the normal Netduino family and the Go, I think it comes down to taste, cost, and how practical you feel. I like to use the real components rather than plug in someone else's modules. But, having said that, the go does have the shield base if you start with modules and then decide to move on.
Above all else - remember its supposed to be fun!