Prohormones are iffy because they always manage to package them w/ other shit to make them sound 'better". Also they aren't true steroids but something somewhere up the chain from the true (and controlled) compound. The main reason people go to the prohormones is because they are available OTC, whereas, obviously, steroids are not. Generally speaking, the recommendation would be to go w/ the "real thing" because (assuming you have a legit product from a legit source), it is just that compound and not other stuff like anti-e's and whatever else to make it sell better. And also, if they are not pharma-grade, the quality can be iffy as well. (Not to say homebrew / powder-originated steroids are pharma-grade + clean room production either)
As far as "experimenting" - obviously you have to start somewhere. But if your goal is to "try a steroid", I would ONLY recommend anavar. Altho there are no guarantees w/ any cycle, var tends to be the most consistent. Everything else above that comes w/ a chance of more and greater androgenic sides. Also understand the nature of each other compound. For ex, winstrol, tho many rank it next to or near anavar in terms of sides, can be much more androgenic (e.g. hairloss, etc.) and also has a generally greater chance of producing sides like low-grade flu. Some can work great w/ winstrol, others immediately start losing hair, have trouble w/ dry joints, break out like a bitch, etc.
Also w/ "experimenting" you need to keep in mind the time it takes to run a reasonable steroid cycle to make a judgement on the compound before you can jump to the next compound. Also if you don't allow reasonable time before the next run, you start looking at cumulative effects of compounds and greater sides. This can also start producing sides you might not have seen w/ each individual cycle well-separated in time. (E.g. chin hair, voice change, blood pressure, lipids, etc.) And over time, this also goes to what is your goal in running the cycles in the first place - more steroid may actually be more aggressive than you were looking for.
Staying within the shorter-acting esters, your choices are generally: Var, winstrol, oral turinabol, masteron, primo. Getting into the more anabolic & longer-acting injectables, you'd be looking at test prop, NPP, EQ - there have a significantly longer detection time, and sides that become much more aggressive, and even more so w/ continued use of steroids in general.
"Experimenting" is a long-term pursuit that requires patience. So, just sayin'. In the whole process, don't forget to still focus more on your diet & training, as any cycle should only be supporting your diet /training /recovery foundation. And as a side note, be aware of the "nature" of each compound. Which have "anti-estrogenic" qualities (may produce dry joints), which aromatize (convert to estrogen -> water retention, etc.). And then, within yourself, be familiar with how you "normally" are (mood, quality of sleep, stress levels), and be open to becoming aware of subtle changes that might be due to the particular compound - e.g. some people have anxiety problems on EQ, some people have more voice change issues on NPP, some people turn into raving bitches on winstrol. I've seen people turn into pricks on certain compounds and not even become aware of it. It seems the worst of it happens when your hormones are in flux - either at the beginning or end of a cycle when everything is in flux. I always compare it to that-time-of-the-month - people become more moody or whatever but don't even notice it, but the people around them start wondering wtf is going on. And same w/ things like blood pressure - particularly as a result of cumulative cycles.