Skateboard wheels come in a variety of colors, sizes and degrees of hardness. Skateboard wheels have two stats --
diameter (how tall the wheel is) and
durometer (how hard the wheel is -- in this article, we refer to the "a-scale" for durometer. Most skateboard wheels use the same scale).
Picking the right size and hardness of your skateboard wheels is important -- once again ask yourself what kind of skateboarding you think you'll be doing:
Transition / Vert
Larger skateboard wheels roll a lot faster, and when riding ramps this is what you want. Try 55-65mm size wheels (though many ramp skateboarders will use even larger wheels -- try something like a 60mm wheel first, as you learn), with a hardness of 97-100a.
Street / Technical
Skateboarders who like doing flip tricks often like smaller wheels, as they are lighter and closer to the ground, making some skateboarding tricks easier and faster. Try 50-55mm skateboard wheels, with a hardness of 97-100a.
Both / All Terrain
You'll want something in the middle, with slightly softer skateboard wheels. Try a wheel size 52-60mm, with 95-100a hardness. This should give you a balance between speed and weight.
Cruising
Usually cruising wheels are much larger for speed (64-75mm) and much softer for riding over rough terrain (78-85a). Other wheels for cruising are available, such as huge dirt wheels with knobs, but these aren't recommended for skateboards (try longboards or dirtboards).