I've dabbled in air guns as well.
Short version. A "springer" (which also can be a nitrogen piston) is the way to go. CO2 is okay, but just when you want it, you're out of gas. PCP (Pre-Charge Pnematics) are expensive and require ta tank and refilling. They've VERY accurate but not always handy to press into service
Don't go for the "high velocity" marketing gimmicks. You want to keep the pellets under 1,100 fps so there's no supersonic shock wave. Hence, highly recommend going with a .22 and use lead pellets not the light weight alloy.
I have two both in .22. One is an underlever, Weihrauch 77, expensive, heavy but very accurate and hard hitting. Usually have a 15x scope on it. The other is a Benjamin Nitro, that uses a nitrogen piston instead of a spring. Not quite as powerful or as accurate, but good for squirrels out to 15-20yds.
One of the on-line retailers is Pyramyd Air.
http://www.pyramydair.com/ They have a number of advice FAQs as well as foums. The Benjamin NP2 is $299 right now. Sometimes you can find them cheaper at local stores on sale. Make sure you use heaver lead pellets to keep the velocity sub-sonic.
Of course almost all the sporting good stores, Cabelas, BPS etc. carry air guns.
Another good source of reading material is Straight Shooters.
http://www.straightshooters.com/They also use to sell samplers kits of pellets so you could try various pellets to see which shot best in your rifle.