If you have the opportunity, attend a genealogy conferences. Many local genealogical and historical societies have an annual conference. State societies also offer annual conferences. The Federation of Genealogical Societies and the National Genealogical Society offer annual get-togethers as well. The New England Historic and Genealogical Society offers a variety of regional programs. Some state libraries will combine with local/state societies to put on a yearly program.
Most of the conferences will cover a three to five day period offering a variety of tracks covering different topics. Regional research, ethnic research, using a specific set of records, and technology are among the topics that might be on the schedule. Prominent national and local speakers are scheduled to present the topics.
One of the best features is the vending area! National and regional conferences generally offer a wider variety of vending options [local and national societies, book vendors, technology companies, software companies, etc.] State conferences tend to have a focus on county society booths.
A typical conference day:
 Vending open about 9:00.
 1st session [maybe 3-5 tracts] from 9:15-10:15
 2nd session from 11:00-12:00
 lunch from 12:00-1:30 [often with 2-3 society luncheons]
 3rd session from 1:30-2:30
 4th session from 2:45-3:45
 5th session from 4:00-5:00
Other events: General opening session on 1st day, early opening for vendors on 1st day and conference banquet on final day. Research opportunities are available at local libraries, with extended hours offered. Special historical tours or programs may be offered as well.
A state or local conference might be best for your first venture. You should take in a national conference at least once. They generally move from one region of the country to another each year.
Check Cyndi's List for its conference page. Also check the FGS and NGS websites, as well as Ancestors.org for NEHGS programs.
Expense can be a concern. The conference and add-ons [banquet, special programs, etc.], hotel room, airfare or gas money, meals, vendor purchases can add up in a hurry, so plan your costs.
My conference list includes Orlando, Boston, Pittsburgh and Ft. Wayne. Ohio Gen. Society [Cincinnati, Toledo, Cleveland], Midwestern Roots in Indy [5x], NEHGS weekend conferences in Fort Myers and Sarasota.
I have been a speaker at OGS, Willard Library in Evansville, Salt Lake Institute, the Marion Co. Gen. Society, African American Gen. Group Conference and a few other county societies.
Also deserving of mention is the Salt Lake Institute of Genealogy held each year in January. SLIG offers a week-long program focusing on one topic with some research opportunities available. Check out the Utah Gen. Association website for details. For the first time since 2001, I won't be attending due to the organizers dropping Problem Solving from the course offerings. Still, the courses offer good info and instructors are nationally renown.