Technically, no score (not having any credit history), and thin file (having too little credit history to properly place or rank), are both better than *bad* credit... but, depending on whom you are going through for whatever it is you are doing at best that would only get you to the average rank. Some places will also recognize and make allowances if you are <= 19 years old. Because 19 and under generally do not have a whole bunch of credit history.
My suggestions, similar to what ThreadWeaver said.
1. Start simple with 1 or 2 basic generic credit cards that can be used anywhere with small limits, and use them regularly, and pay them off as best can each month.
2. I would also suggest for variety 1 store specific card, like a GE Moneybank card which is the parent backer for a number of store specific credit cards.
Be warned, be sure of where you are going through, as to get a credit card may well generate a hit on your credit report... too many such hits in too short a time and it will turn your supposed no or thin credit into bad credit. So do not go out or on-line one day and apply for a bunch of them, apply for and get one, wait a few weeks and get another, wait a few and get another, etc.... this will be a slow process.
Also, try not to use too much of the total credit. Meaning if you get 2 cards, and their combined limit is say 750, I would not use too much over 200 to 250 of it.
it will take a bit after the purchase of the first card, but the credit reporting agency bureau's will start reporting it.