The woolly worm is a great first fly to learn how to tie flies.  Simple instructions and the materials are not expensive.

Best of all this fly catches all types of fish.  Trout, panfish, and bass.

Excellent book on how to fish for trout by the fly fishing instructor at Penn State

Below are the materials needed to tie the Woolly Worm.  All of them can be purchased directly from Orvis

Orvis Hooks

Red Yarn (you can get this at a craft store)

Medium Chenille

Grizzly Hackle