My choice starting out would be a torch,a small acetylene oxygen (jewelers or small bottle travel setup with a variety of torch tips), on a budget then I may choose Mapp gas with a good torch head and a melting dish. is also a good option.
This would get you started and may be all you would need, either one has many other uses as a tool for many other jobs around the shop, or you could use these to make a small forge with...
You can build a small propane furnaces and burners very easily.
Much really depends on the job or the melt as to which tool would be best, melting pure gold or smelting ore,
What furnace, I feel would depend what job you expect it to accomplish and what material your melting or smelting...