We've had a share in a CSA for three years and love it. I'd just like to point out that not all CSAs offer organic produce, as some of the other mamas have mentioned. Ours does not. For me it is more about supporting local farmers and reducing the number of miles from field to table.
When looking for a CSA, I would consider these things: Do you care about the food being organic? If so, you are going to have less of it, and it isn't always going to be beautiful like it is in the store. Where are the drop off/pick up locations? They usually have a couple hour slot one day a week, and if you miss it, you miss it. How much food do you want? Do they offer double shares, or half-shares? What kinds of foods do you want? Some of them offer meat, eggs, bread, milk, etc in addition to the produce. Some just have produce. What kinds of produce do they grow? Do they grow all their own produces? Ours doesn't, so they trade, say, potatoes, with another CSA for their apples so we don't have 10 pounds of potatoes a week and no apples.
The first year is a learning experience. Unless you are a professional chef, I suggest that you buy a good vegetable cookbook (I like the Cook's Illustrated one) because you will get stuff that you don't know what to do with. Also, if you have a deep freezer or a canner, it would be great to brush back up on your freezing/canning because there is often more stuff than you can eat. I've still got shredded cabbage and chopped green peppers and sliced apples in my freezer from the CSA last winter that when I need to cook with those things, I just pop them out and thaw them.