If you want to do that stuff then Tig will be best, but they are the hardest (Sort of) to handle because you need a really steady hand.
Gas is a good way to start and you can go a few ways about getting a set and bottles. You don't need to spend the $12 a month on BOC gas bottle rental if you don't want to though. There is an outfit called Air Liquide who are going to do a new lease system that works out at about $35 a year... But you lease for 10 years at a time = $350 per lease bottle + filling. But then theres no real way to get into welding for cheap cheap.
You could go for a mig. Mig's are the most versatile welders, you normally can't do stainless (well no where near as nice as a tig can), you can do some alloy (but again not as well as tig). Shouldn't have a problem with steam pipe, exhaust tube, panel steel, thicker steel, anything really. Good to get started. It's best to run shielding in the form of C02 (Fire ext or dive bottle

), argon / co2, or argon by itself. That involves getting a regulator and a bottle from Boc, Air liquide, some gas shops / fire ext places that will change the valves on bottles for you.
Arc - Good for welding big stuff and blowing holes in panels

..... Ours does it well.
I would say go for a mig to get started, they are good for doing most things in the shed. You can get setup with a decent one for not too much money. 130amp - About $550, 140amp about $700, 190amo about $ 1000 - 1500 + gas, regulator, wire and a decent mask. All up the accessories (gas, reg, wire, mask, gloves) would probably cost another $350 if using co2 from a private shop.
Then get a tig after that.