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Here's my suggestion

You create a toy exploitable program, and you start exploiting that

But before that, brush up on C and assembly (the basics of assembly at least). x86 is "easier" (more human readable I'd say but lots of quirks if you want to write, but easier than x86 in 16bit) but if you want to study exploits in other platforms they have some quirks.

That's "exploits 101" lets's say. That will cover the most basic tools you'll need and trying that is a great exercise

See the links other posted for "smashing the stack for fun and profit"

After that, you could try old programs and studying known exploits for specific versions (say program X has a certain exploit that works like that, so you could try making an exploit for that)



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