Welcome aboard. I'm also in NYC and, as others have mentioned, it is advisable to pick species that will be comfortable in our climate. The good news is that many species can be grown in our neck of the woods and they appreciate the winter. If you are interested in tropicals, those can be rotated inside depending on the season. Otherwise, you have a ton of trees to choose from.
Developing bonsai is not only a very time intensive process, but there is a good deal of skill and experience needed to get to (and maintain) a nice product. My advice would be to get some material you can work on and that you aren't wedded to, so that you can learn and make your mistakes. Most importantly, you need to be able to keep your tree alive - you just can't develop a dead tree. That means getting used to watering, moving away from potting soil to a mix that is more appropriate, learning to fertilize and also to overwinter your tree. And with young material, that may be just about all you are doing for years to come.
Repotting is an essential skill, not just to keep the tree healthy, but because the nebari is so fundamental to the design and look of the tree.
Next, understanding how to prune the branches and trunk and the somewhat associated act of wiring branches. Here, we are learning the tree's responses and using these responses to get the material into a bonsai.
Lately, I find myself studying Kokufu trees - branch placement, taper, movement and canopy formation. Personally, I find it difficult to decide on my next moves without having somewhat of an understanding of what my potential options are. And I have a much easier time visualizing this from an award winning tree, as opposed to the mess of branches and chops I am usually working with.
Airlayering and thread grafting are two other important skills to learn - they will give you much greater control over formation and also provide you with additional material to work with for free.
Healing wounds.
And finally, how to maintain our "finished" trees as pristine little creations with pinching etc.