This might sound a little bit silly, but I'm 17 and I've never built a LEGO toy, so I was looking for a first one, to see what it's about. What sets would you recommend I should look at, that are complex enough for someone my age not to get bored? I wouldn't really get an NXT, because I don't want to program a robot, I just want to build something, and I think an Arduino would be cheaper and more complex. Bionicle and Architecture seem interesting, but Technic looks like the most complex of them all. So... what sets should I look at?
It's an interesting question.
As Joubarc stated there are multiple approaches here. But from my personal experience I would recommend a graduated approach into the Lego Technic.
You should start with the sets on this page to see it you can find any kind of interest and to ensure you are not simply discouraged by the Lego Technic models.
If you enjoyed the simplest models at least a bit, you shouldn't stop until you have built the most challenging ones. The reward in completing and discovering them is way higher. To me the most enjoyable model was the 8880 Super Car replaced by the more modern 8070 Super Car. Although the new 9397 Logging Truck seems to beat it when it comes to complexity and functions.
But first you should try some simpler and yet enjoyable models. I know people who like the racing cars more than anything else. I like anything with good and interesting parts/mechanisms. If you like the construction vehicles more than the cars you will find a few good sets. The 8043 Motorized Excavator being the coolest construction themed set for me.
Architecture set - White House. This is the first lego I ever built (got as a gift from wife). Loved it. Right amount of pieces, right amount of time - ~3-4 hours. Enjoyable time well spent. Recently disassembled with help of a brick tool, packaged it up and sent it to my brother so he could enjoy as well - he was a lego kid, I missed out on that when I was a kid.
You're probably the only one who can answer that question, but here are a few thoughts anyway.
If you're interested in mechanic complexity and how machines work, Technic is indeed a good way to go. And as you hint, it can evolve into robotics, whether with a NXT or with anything else you fancy.
If you're after building complexity, I wouldn't recommend the architecture sets. The few I build weren't very challenging, and I find their price a bit on the heavy side. The bigger ones (21005 - Fallingwater or 21010 - Robie House may be more challenging, though.
However, sets with a high number of parts will usually mean the build is more complex. For example, 10214 - Tower Bridge has 4287 parts, and if you compare its price with the 2276-parts Architecture Robie House, you'll find it much more interesting.
Similarly, the various modular buildings also have high parts counts and are fun to build and display afterwards; plus, they go well together when you get the chance to have more than one.
As an aside, notice the "display" aspect I mention is important too - what do you want to do with the set you'll end up buying? If you're after replay value (creating new things constantly, the Creator theme has great sets with good play value, which are reasonably priced.
On the other hand, if you're concerned about your set keeping some value, or if you're a fan, license sets may be a good choice, especially Star Wars which also has some very big and complex sets.
Last, keep in mind LEGO also give age ranges for its sets. They're estimates, but a set marked 16+ is likely to be more challenging to you, so you'll want to look for these. You can easily browse the sets by age on the online LEGO shop, and even set limits for price and number of parts.
In any case, whatever you end up buying, don't hesitate to come back and share your own experience.