MFM can be a good con for a first-timer. Things are fairly relaxed, people mostly show up to socialize. (Heck, most furry cons are full of people there to socialize.) Morphicon can be a good first con. Anthrocon can be a good first con. It all depends on what you want out of a convention.
Here's some advice for you: Let your anxiety go. Don't worry so much about which one is the best; you are partly responsible for your own con experience, so a good attitude is as important (or more so) as a good con.
So: Find a convention that looks fairly attractive to you, and is within your price range. (Note that travel, food, and room expenses should be added to the con's registration fee, so closer and shorter cons are less expensive overall - but maybe you want to travel cross-country and stay Thursday through Monday to get the full experience of the largest conventions.) If you join the con's mailing list or forum, you can ask about ride-sharing and room-sharing, which will help reduce the travel and hotel costs.
Make travel plans and confirm your schedule, including time off from work/school. Make your room (and airline) reservations at a reasonable time before the con - booking next year's hotel room at this year's convention is a bit far off (plans can change in a year), while begging for a room share the day of opening ceremonies is basically not going to work. If you've made sound plans (and you should expect something to come up, so keep your plans simple), that can help act as a buffer to anxiety about meeting schedules.
You might also be anxious about wanting to meet fellow furries. Meeting people iRL can be great and wonderful, but by the end of the first evening it's more of a neat and cool thing, rather than the heavenly ecstasy that intense expectations can make it out to be. As I've already said, try to relax and let your anxiety go. You'll have a great time, right? Right.
Once you've made your plans, and made your reservations, it's just a waiting game until time to travel. Try not to get distracted from making your travel connections once you're on the road.
And from there, FULL STEAM AHEAD! (But watch your speed on the road - cops love stopping strangers on road trips!)
