Best way to try a new game?
I am going to split this in two, because I think that the answer is different depending on the sort of game you are playing.
For medium or high complexity games
The best way to try out these games is to have someone who knows them teach them to you. At a minimum a GM with experience in both running and playing the system should sit down with you and help you create a character, guiding you through any pitfalls in the system (“Yes, illusionists seem powerful, but 50% of all threats you will face are immune to illusions, which will leave you as an unarmored character fighting with a pointed stick – so it may not be a good choice.”). Under certain circumstances having other players in the campaign be knowledgeable about the system can be a plus, but this can also lead to problems because a) players want to play, not spend time helping the newb make a character, b) too much feedback can sometimes be intimidating – having five other people all telling you what is wrong with your character build, why you should build it differently, and how to plan your build up through level 20 can be confusing and overwhelming.
For low complexity games
Sit down and play it. If a GM is required, maybe have them create a few pregen characters for people to try out. But if you are making characters, make them as a group – its more fun anyway and it gives better results. The only caveat is that everyone should know in advance that nobody, including the GM, has experience with the game so that they can get into the spirit of the thing, and people should have the opportunity to read over the rules first. Most won’t, or will give them at best a cursory glance (gamers are a lazy and impudent bunch) but the one or two that do should give the group enough knowledge of the game to get started). Make sure that there is plenty of good food and be prepared for jokes.