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If you've never played before or you are new, stay in high sec for a few days at the very least until you have some agent missions and had time to understand the overview, dscan, and running probes etc.
There is no need to rush out into the void of an interesting looking wormhole yeah they look cool if you've not seen one before. You also don't need to stroll into low sec (in many ways mroe dangerous than those wormholes) and there is no need to rush because you're bound to get your ass handed to you before too long in this game. It is most likely your first adventure into low sec is going to be short lived, leave you feeling a bit confused, frustrated, and wondering what the hell just happened. Welcome to Eve.
Remember, no matter where you are in highsec you are always vulnerable to attack.
Also remember that while attackers get taken out by concord if they attack you in high sec, They only need one partner in crime to grab the leftover loot you have in your cargo hold.
Of course, all of this means nothing until you start dying and winning in Eve, Only then will you be like "Ahhh I see now".