The Blues Harp is a good harmonica I own a couple. E is OK but I would recommend either a C or D for a first harp. Most lessons use a C and that might be a better first harp to learn on. The reason is that all the different key harmonicas use slightly different techniques. Key of G harps requires less air and F's require the most force due to the reed sizes, so C is in the middle. If your heart is set on an E, you can get that, plus a very nice beginners lesson book that comes with a CD and a cheap but OK C harmonica from amazon and cost less than 12 bucks!

Instant Blues Harmonica 9 Ed: Minutes Away From Blues and Rock Improvisation!

http://www.amazon.com/Instant-Blues-Harmonica-Ed-Improvisation/dp/0918321727/ref=sr_1_4?s=books&ie=UTF8&qid=1291516684&sr=1-4

It's a pretty painless way to learn harp.

Also you are right about cheap harmonicas, although I had a $5 Hohner Pocket Pal that wasn't half bad and lasted for years. The Hohner Special 20's are a couple of bucks cheaper and are pretty much the Blues Harp with a plastic instead of bamboo comb. Actually till a couple of years ago they were more expensive than the Blues Harp. Another good harmonica brand is Lee Oskar major diatonics. Most of my harps are LO's and Special 20's with a couple of Blues Harps. All are good.

Good luck!