Normal progression of welding techniques
ARC - cheap easy and ugly. You can pretty much just drag the electrode and get a strong enough weld. Minimal skill required.
MIG - can be cheap, relatively easy, but requires a little skill to get a quality bead. Practice makes perfect...
TIG - if you cannot MIG like a champ, I wouldn't even try this one. It is an entirely different technique than the other two. If you watch TV shows with guys TIG welding and say that looks cool I wanna learn how, realize those guys have been TIG welding for years if not decades, it is nowhere near as easy as they make it look. You need to have good foot control, hand control, and really good hand-eye-foot coordination. As you weld, the metal will tell you when it is time to dab the rod. I could go on for days about TIG techniques, but I won't unless asked...
And then there is
BRAZING - which I don't consider welding at all, but it can be strong. I would say it's somewhere between ARC and MIG as far as skill set. All you need is rosin (aka flux), brazing rod, and a torch. Apply the appropriate flux to area of desired "weld" heat from opposite side and apply appropriate rod (opposite side of heat source so the rod flows to the heat just like soldering) and let cool.