You may not want to order sea urchin.
For rolls, they've gotten quite imaginative, and quite a bit of it features cooked food, so you might want to start there.
Going off of the California roll, a slightly more advanced version of that is the rainbow roll, which is a California roll with sashimi on top.
For non-roll sushi, Unagi (BBQ Eel) is generally a safe bet.
By the way, the best thing to do for your first time is sit at the sushi bar. The sushi chef should be able to explain a lot to you.