You didn't say rifle or pistol, and the style of shooting (e.g., hunting only, prone target work) can have an influence on the advice as well. But there's a lot of good information given already. I would advocate .22LR for fundamentals, then straight to whatever big-boy cartridge you want without intervening baby steps. (Unless your idea for a cartridge is a real experts' round like .450 Rigby or whatever.) There's nothing wrong with going to 9mm, then .357Mag, then .44Mag, if you're going to want to keep that 9mm, but if you have zero interest in 9mm and just want the big revolvers, no need to deprive yourself.
Starting with a .22 isn't a certain cure for flinch; using .22 practice to learn proper form, sight picture, and trigger control and _then_ consciously applying those to everything bigger can be. Just tell yourself, I have a firm grip here, no chance of dropping the gun, let's just pretend it's still a .22, and don't anticipate or try to control the kick. Much of that can be supplemented by dry fire, but there is no substitute for the actual recoil and hole-in-paper feedback of live rounds.
Spend a lot of time at the range. Much of your ‘flinch’ reaction is the natural effect of being around the sharp noise and concussion, which your body doesn't consider normal. First few times on a shooting line even a macho guy is likely to hop out of his shoes a little every time one goes off next to him. Plugs under muffs can definitely help with noise but not the blast. Same way you'd acclimate a gun dog to gunfire, it's exposure and not letting him get emotional.
When you can stand between a couple of guys kablamming .40s and .45s, with hot casings bouncing off of you, and concentrate only on *your* target and *your* trigger pull, then you know you've made it.
