With your first zones laid and your street mapped out, you'd better plop your first power station. You have a number of options:
Wind - Clean energy, cheap initially, but will take up a lot of space as your wind farm grows. Not enough to sustain a large city and will usually need to be supplemented much later with a stronger power source.
This doesn't mean to say this is not a great option for the initial stages of the game, certainly to power your first 50,000 residents. Just make sure you consider ther amount of space you will need for mroe turbines and service roads.
Solar - Clean energy, more costly than wind and also takes up a lot of space. Despite it's expense solar is still a good option, but only if you are prepared to get into a fair amount of debt to pay the $33,000 asking price for a solar power plant. Also you won't get power straight away as the plant needs a day or so to power up it's photoelectric cells, and like all other buildings needs time to get staff. So don't worry if after you have laid the plant you get no power initialyl, as long as it is laid next to a road which connects to the rest of the city the power will come. This power delay also occurs whenever you add a new block of photoelectric cells.
Coal - Polluter, relatively cheap, medium running costs, can be converted to non polluter later in the game, can also be expanded with more chimneys.
Oil - Similar to Coal but offers more electricity for the relatively same size footprint on the map. Higher monthly running costs but much higher electrical output than coal, can be converted to non-polluter later in the game with the correct university upgrades.
Personally, I usually go with wind if I don't want to spend much initially, or solar if I've borrowed a lot initially. And later supplement these with oil if I run out of space and need the extra energy quickly and cheaply.