"I am doing my first triathlon and I really don't know what to wear?"
I highly suggest wearing a tri top and tri bottoms. A tri top is similar to a tank top but made with swim suit like material so it drys quickly. And tri bottoms are typically the same material with a little padding in them to protect your "lower area" on the bike. they are different from bike shorts as they don't have all the thick padding as bike shorts. They dry quickly and you don't end up with a soggy diaper down there.
You wear the tri top and tri bottoms for all three portions of the race. My favorite tri top is the one I wore during Vineman. It was made by Skirt Sports and it's not ridiculously expensive either. It was super comfortable and my favorite part about it was the pockets it had. It had one pocket in the cleavage area and another on the back of the shirt. It was perfect for stuffing gels and ice in when I got really hot. I have a longer torso and I like that it never rode up on me nor did I have to adjust it. And let me tell you I had that thing on for 7 hours!
For my first pair of tri shorts I purchased a pair on clearance from Danskin's triathlon line. I didn't want to spend a lot of money and since I found them on clearance I was even more happy. I never knew Danskin had a triathlon line and was pleased how well they have held up over the years. I liked the longer cut on them as well. But lately I have been wearing my Zoot Sports ones that are also really comfortable. I like them both equally and am not sure why I choose one over the other. It just depends on my mood come race day.
Comfort does matter so it may take more than one time to find something you can swim, bike and run in. But the key is to test it out ahead of time...several times!
And if all else fails and you test something out and hate it, that's what eBay is for, right?
I received a discount from Skirt Sports if I gave an honest review of their tri top. Zoot and Danskin just got lucky and well of course a discount would have been nice but that's quite alright too.