A few things... take what you like, leave the rest (as always!):
1) Whole, mashed or pureed foods are the healthiest choices for first foods - stuff like bananas, avocados, cooked sweet potato, steamed pears or apples, carrots, etc. Cereal is actually not the best 1st food, but it's pushed because of the extra iron that's added to it (but formula and breastmilk both have adequate iron, so cereal's not really needed). Cereal as the 1st food is *much* more of a cultural habit than anything! Also, have you tasted those cereals? I think they taste pretty horrid. I don't blame babies for not liking them! :)
2) Don't rush the whole solids thing - 6 months really is the *earliest* that parents should even consider starting (most) babies on solid foods. And it's really just a fun experiment at this point - a little food on the tip of your finger for them to taste. Not "you need to finish this bowl of food, baby!" Follow your baby's signs, and the gagging is a BIG sign that it's probably too early. Check this list of developmental signs of readiness:
http://www.kellymom.com/nutrition/solids/solids-when.html...
3) While I'm sure your pediatrician is a nice person, a pediatrician's medical training is *not* focused on the latest in nutrition, so educate yourself & do your own research when it comes to introducing solids to see how your pediatrician's advice matches up to what the current, independent (meaning, not paid for by baby food companies) research studies show is most healthy. Some pediatricians are well informed, others are WAY behind the times. One pediatrician who I think "gets it right" when it comes to solids has this info on starting solids: http://askdrsears.com/html/3/T032000.asp
Congratulations on becoming a mom to a sweet little boy - they grow up sooo fast! :)