Well, I started in Java and it's still by far my strongest language. Greenfoot (
http://www.greenfoot.org/) is something I discovered and subsequently became involved with a bit later, but if you're into games then in my opinion it's a really nice easy way to create and share games using Java
If you're looking for general programming exercises in Java, there's some great ones at
http://www.javabat.com/ - there's a wide range of problems there that will help with programming skills in general.
C# wouldn't be a bad option either, I think there's more of a community backing behind Java but there's a few libraries around for it like XNA that mean it's really not that difficult to get started with games and graphical bits and pieces. It's also VERY similar to Java - most of the changes between the two are just down to different choice of keywords. In that sense, learning either C# or Java could be advantageous because then with not much work you can claim to know both languages!
I personally don't like Python at all, but that was probably just because I'd been at Java for a bit too long when I was first introduced to it and it works quite differently. If you do, then I'm pretty sure there's a number of libraries around that makes game programming not too hard
In terms of C / C++ (and no, C+ doesn't exist, at least not in any remotely well know form!) they're great languages to learn, and I'd suggest any serious programmer made sure they were familiar with them - especially C++. However, for beginners, neither is really appropriate - they can quickly get quite frustrating and most compilers for C especially are quite lenient which makes debugging rather hard.
VB is the choice of many, and it IS easy to pick up - hence why it's used for a lot of beginning programming courses. But the number of bad habits people pick up when going from VB to another language such as Java is generally HUGE, which is just one reason why I'd suggest that it's better to steer clear. Nothing's stopping you coming back and picking it up later when you know what to watch out for.
PHP / MySQL is definitely a good skill to have, essential if you're interested in web stuff. But for the same reasons as VB, I'd advise steering clear as a method of learning how to program - it's so loosely enforced that it makes it dead easy to pick up bad habits that can come back to bite you later.
Ruby - now that's something I've not had the pleasure of dealing with. From what I know of it it's a pretty modern language, probably the most modern out of the commonly used bunch. Most people I know that have worked with it have liked it, but unfortunately I can't comment myself!
Oh, and HTML / CSS aren't programming languages