Learn all the modes, in order.
1 G Ionian (3rd fret)
2 A Dorian (5th fret)
3 B Phrygian (7th fret)
4 C Lydian (8th fret)
5 D Mixolydian (10th fret)
6 E Aeolian (12th fret)
7 F# Locrian (14th fret)
All of these scales contain the exact same notes from the G major scale. For the sake of illustrating the correlation to you, I've indicated both what key the scales are in and your starting fret on the E string. DO NOT over-think the letters, just play these scales starting on the indicated frets to see and hear what I'm talking about.
Learning them in order and how they fit together is the most important thing. It will allow you to play all over the neck. Also, find a backing track to play over. A metronome is great and all, but hearing how all of these notes relate to a backing bass line will really train your ear up, and make the statement "All of these scales are the same" make a lot more sense. You can even record yourself thumping a G power chord, or a G Major chord in time for the same effect. I recommend you start in G, for the simple fact that when you start in G you can move straight through all 7 modes in one trip up the neck. It helps a lot for visualizing the way they fit together.
Now for the other important bit, the scale shapes never change. We've talked about playing in G ionian, but lets say you wanted to play in A...
A Ionian (5th fret)
B Dorian (7th fret)
C Phrygian (9th fret)
D Lydian (10th fret)
E Mixolydian (12th fret)
F Aeolian (14th fret)
G Locrian (16th fret)
It's the exact same shapes, and the exact same progression, starting from a different place on the neck. Awesome eh?
Next, (meaning AFTER you learn all 7 modes) learn the major and minor pentatonic scale (all positions), again knowing all the positions will allow you to play all over the neck in any given key.
THEN, (meaning after modes and pentatonics are old hat) Learn the more exotic stuff, Harmonic minor, melodic minor, etc. Here's a great selection of bizarro guitar scales to play with.
Again the most important thing (and I can't stress this enough) is to learn them in all positions. Wailing away in one position of any given scale will not get you anywhere. The only other advice I have to offer you right now (And this will probably get me shot by all of the mathematicians on jemsite =p) is...
Disregard the alphabet as much as possible. All this talk of intervals and notes and math and letters and calculus is the most confusing and in my opinion unnecessary thing to a newer guitarist. Once you have these scales in your head and under your fingers it will make so much more sense. For the time being, just learn the scale shapes based on the first note on the E string. Once you have them down, you can start picking apart scale structure and intervals and it will make much more sense, and be much more usable to you, but learn the shapes first.
It's like learning a new language. As a small child, you learn the simple words and phrases well before you learn how the words are formed or spelled, or how to diagram a sentence, or write a sonnet. Learn about music the same way, and you'll have much greater success.
Lol, I never thought I'd see the day where I was posting about modal theory on the internet.. it must be snowing in hell.