Oh boy! Oh boy! Finally a subject I know something about!
I have a soprano, alto and tenor, all in wood. A few years back I also had a sopranino on loan for a while, but I was living at home at the time and my mother made me return it. 
I like playing alto the most: like others have said, the soprano can be a bit shrill, especially when going up hight, and as my fingers are quite stubby playing the tenor can be a little difficult if I haven’t done it for a while. However, most people I know who teach the recorder start their students out with the soprano because it’s set in the key of C and is therefore a very basic starting point, and then move on to the alto when they’ve played the soprano for a while and have got the hang of the basic fingerings. (Also, you’ll have an easier time playing other music - for example pop tunes - with a recorder set in C, since the notes will correspond to what you’ve learned already and you don’t have to think “Well, okay, that’s C, so on the alto, that would be the fingering that’s a G for the soprano… Okay, the next one’s F, so that would be…”. Of course, you can just play the notes as if you were playing a larger soprano, but then they’ll be half an octave lower. Works fine if you’re playing alone, but with accompaniment…)
In Finland, music classes in lower school usually involve learning the recorder (because it’s quite easy to learn and cheap to buy); there is nothing, I repeat, nothing worse than 30 white cheap plastic recorders belting out “Hot Cross Buns” out of tune, out of key and out of tempo. Invest in a good quality plastic recorder for starters. I second the Yamaha suggestions, but there are different qualities of plastic recorder. I had a plastic black-and-white Yamaha soprano and alto for 10 years and now my brother uses them; the sound is quite pleasing. The woodgrain plastic that FlyingRat mentioned is higher quality (although the woodgrain design rubs off where your thumb is); the black-and-white is kind of in-between, and the cheapest ones are plain white or black and sound really plasticky.
My first wooden recorder lasted two weeks; my dog ate it. (Serves me right for leaving it on the chair where a six-month-old teething puppy could get to it.) The ones I have now, boxwood Moecks, I bought in 1999 and have really pleasing, full sounds.
I have to confess, though, that I kind of quickly breezed through the breaking-in process, even though it’s highly recommended that when you start playing a wooden recorder, you only play it for short periods at first to allow the wood to “live”. I was too impatient and wanted to get right to business straight away. The recorders sound fine now, I don’t know how much better they would sound if I’d followed instructions. (Then again, I’m a very negligent recorder-owner anyway; it’s been almost 8 months since I last oiled them… Tough love, I say.)
-auRa, 16 years and counting of responding to the question "You play whaat?! "-
I bought mine from a shop called Woodwinds in central Helsinki. They don’t have a website that I can find, and I also can’t seem to find any other information on them on the web. I hope they haven’t gone out of business… I haven’t visited them for a while because I get my music from my instructor or from libraries.