Here are a couple of great threads discussing colors, etc. of pastels. Unfortunately, I really got into some of the ideas in these and now have a HUGE collection of pastels.

My favorites are Great American, Windsor & Newton, and Unison.
Sharon's suggestions
Chris Saper's thoughts
Colors I can't live without:
W&N - Burnt Sienna all values
W&N - Windsor Orange all values
W&N - Raw Umber all values
Great American - Dead Head (i.e. caput mortuum)
Great American - Dragon's Blood
I love the Unisons and have a full set, but can never remember favorite colors because of the naming (numbering) system.
The best thing would be to find a local place that has some open stock so you can see them. It can be expensive and disappointing to purchase sets.
Have fun, but be very careful. Pastels are addictive. Should be a controlled substance .