My first real (read: finished and usable) knitting project was the Doctor Who scarf. Four metres long, but garter stitch all the way, so it was easy to do and a very very good practice piece for getting even tension. That said, I propably only managed to finish it because I was hospitalised with pneumonia some time after starting it and was too tired and unfocused to even read books. Knitting was suitably mindless and all I had to keep track of was when to change to the next colour.
I then dared to try my hand at a knitted and felted hat (very quick and great result), thick woolen socks, then thinner socks, mittens, and now I've actually made a couple of simple shawls and and a short summer bolero top. The key for me was to choose projects that were small enough that I would manage to finish them before I grew frustrated and bored, and then I'd feel pleased and happy about finishing them, and quickly want to start on something new. If the project is too big or too difficult, I might abandon it halfway, and then just feel bad and guilty about it. It's a matter of knowing yourself and what your own pitfalls tend to be, and avoid them.
I've gradually worked my way up from there.
As for socks, they can be pretty monotonous to knit (especially knee-highs), but using variegated yarn helps a lot. Also lace patterns, which aren't nearly as hard to do as you might think, are usually pretty quick, and look great (if you're into that sort of thing, or know someone who is).
