If you want to get started programming physical “things,” the normal progression would be to buy an Arduino Uno board or similar, plug it in, and see if you can blink the onboard LED. While this certainly feels amazing to get past level 0, if you want to progress to writing more interesting programs, you’ll need more lights and buttons!
For this purpose, the Petit Biscuit, by Saandial is a really excellent device for programming practice, containing four rows of red, yellow, green and blue LEDs, plus a couple of buttons, a switch, and a dial input. While not an Arduino board per se, it uses an Atmel chip and is programmed in the Arduino IDE. The one wrinkle is that it uses a USB-TTL connector instead of the normal USB cable, but it’s included in the package, and could be useful elsewhere.
Check it out in action in the video seen here, with the “fraise” or strawberry version seen on the right, along with the vanille or—you guessed it—vanilla board on the left with an added rotary input.