Minor pentatonic is a great start/
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Quote by humperdunk
one time i let my cat has cheezburger. i thought it was pretty funny.
You need more than scales to get better. Just play with many different songs starting with slow and heavy ones and moving up to speedy thrashy ones. That would be a good way to build dexterity.
E harmonic minor is pretty evil :P

it's used in some Opeth songs, like Master's Apprentice. That's all I can think of now.
Harmonic minor in general. Never worry aobut what key it is when learning scales, learn degrees (I've got a jazz mentality with that)
That way, you can play in any key, not just E.
Other than that... minor, minor pentatonic.
People always seem to think learning a scale will make them better magically. They don't seem to realize that learning how to use the scale is as, if not more, important than learning the actual scale.

If you want to get into scales, it's best that you start off with the Major scale and all the music theory associated with it.

The Musician Forum is a great place to get the basic information you need.
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Things to come:
Carvin or Trace-elliot rig
EBS Valvedrive (Newest edition )