Generally I like to suggest that folks start with Corporate Research International, Market Force (the Blue Portal of it), and Maritz would be reasonable. The reasoning is that both Corporate Research and Market Force have large, nationwide clients, so virtually anybody, anywhere in the country can find some jobs to perform with them. Both companies are reasonably friendly to new shoppers and both offer instructions that are detailed enough so that a new shopper will know what is expected of them. That being said, both companies pay poorly, but they do pay reasonably fast compared with other companies.
Once you have done a few jobs you will have a good idea of whether the whole mystery shopping idea works for you. Then it will be time to expand your list of companies you are signed up with. I usually suggest you check Jobslinger.com (its free) for companies to sign up with. The jobs you see on their board in your area have probably been taken already, but at least you know they have clients in your area.
Then begin with a legitimate list of companies to sign up with as many as you need to to have the level of work you want. There is a list of about 200 companies in the first post of the first thread of the Mystery Shopping Company Discussion section of this forum. You will find that many of the companies are likely to have no jobs in your area at the present time--and you never know that until you sign up and look at their job boards--but most of them will send you an email if/when they get a client in your area.