It's a nice easy thing to do. Just make sure the container you put under the bike is big enough to hold all the oil that will come out!
As for the best oil - make sure you get bike oil, as some of the additives they put in car oil can destroy wet clutch plates.
There are three main types of oil:
Normal cheapo oil - Don't use it, it probably won't be the correct rating for your bike. Usually found in 15W40 or 20W40
Semi-synthetic oil - much better, will give more protection to you engine components and is usually what the garages put in. Normally 10W40.
Fully-synthetic oil - The best stuff, more expensive, (4 or 5 litres will set you back between £20 - £25 normally) but will offer the best protection for your engine and allow you to use it in colder temperatures. Usually between 10W40 and 0W40.
The numbers for the oils (10W40 etc) refer to the temperature range you can use them in. The first number refers to the cold end and the second refers to the hot end. In this country we're more bothered about the cold end. The lower the number, the colder temperatures you can start the bike in without causing as much wear.
If the manufacturer recommends 10W40, don't put 15W40 in, but 5W40 is no problem.
Hope that helps and isn't too confusing. Enjoy it, once you've discovered how easy it is, you'll soon be tinkering with other bits and bobs as well. Get yourself a Haynes manual for your bike too if you intend to do anything else - it's way more useful than a big hammer and a flat blade screwdriver.