You should first decide what type of iron you want.
The vergez, dixon, and osborne irons mentioned in this thread are meant only to mark the leather. You then punch your holes with an awl.
The japanese ones (I have a Seiwa that I absolutely love) are meant to be punched straight through the leather and actually create your holes.
If you decide on the former my vote is for the Osbornes. American made and much less expensive than the alternative.
However, I have both the Osborne and the Seiwa and I think the Seiwa is much more effective for someone who doesn't have a ton of experience with hand stitching.
Its just more consistent. Which leads to better stitching.