I'm always divided about this.
Everyone always has a dream about bringing home the cute little foal and then training it when it gets older--but training a foal is not like it seems. They don't tell you that when you first cinch up some foals, no matter how slow you take it, they buck and bronc and ram into fences. They don't tell you that in your first 60 to 90 days of riding, they can buck, rear, and bolt for almost no reason. Training a 2/3/4 year old to ride is difficult and requires an excellent seat, just for the fact that that baby will be giving you TONS of opportunities to let you meet the grass.
I've met lots of good riders, and I've watched those same riders fall off again and again on babies. It takes a bit of roughness and courage, and at the same time, softness and finesse, to train babies to ride. Just because you can ride all of your trainer's school horses, doesn't mean you'll be able to ride a baby who's trying to balance themselves AND you. I have seen and ridden so many green horses that are poorly trained and have horrible habits because people tried to train them, and realized too late that they couldn't.
And that's just RIDING. Halter and ground work, within the first 2 years, is just as dangerous. Babies behave like babies--wild, erratic behavior. ADD minds, dangerous hooves and no manners. If you can't seem to stay calm when old Miss Clover throws in a crow hop when your riding, forget it.
Babies take a certain amount of athleticism. You have to be able to take a fall--because it's not a question of 'if', but 'when'. And you have to get up and get back on. You can't get scared, you can't have crazy adrenaline running high, and you have to be able to move quickly if on the ground to get out of the way. Many people seem to think that if you just take everything slowly, the baby will never freak out--and I can't stress how UNTRUE that thought is. I am a firm believer in that everyone can not be trainers. A baby, in the hands on the inexperienced, turns into a stubborn, bratty, dangerous animal with hard habits to break.
If you are looking for a pal to go trail riding with, or a horse to do some light competing, I would look for one already broke. If you are calm, atheltic and willingly accept that you ARE going to get hurt and possibly seriously so, get a foal. If you have the time to train a horse 5-6 days a week, get a green horse or a foal. If you don't have that kind of time, or you don't think you'll be able to do it, don't get a foal and leave training to the professionals--a broken bone or a concussion isn't worth wanting a cute baby to grow up with.
Besides, I have three horses--a weanling, and two older geldings. Babies don't give a crap about people in a 'bonding' way. You can form incredible bonds with any horse you get--it's just a romantic notion that one you form with a foal will be somewhat 'better'.
Sorry to sound harsh, but I've had to retrain a lot of horses trained by inexperienced owners, AND bad trainers alike. Training is not a set of steps to take, it is a skill--some people have it, and others don't. And above all--babies can be very, very dangerous.
If you still want to get a foal, I would suggest sending it out to a reputable trainer. You can still grow with it, AND you won't be getting injured.
Green and green makes black and blue!