The major scale is without doubt the most important scale in all western music. It's made up of 7 notes and you'll find lots of good information about here on Wikipedia guitar scales. Although it isn't essential to know the theoretical mechanics of music scales on guitar all knowledge is power so it is worthwhile taking the time to understand them.
The reason it's important to start by learning this scale first is because guitarists think of, compare and relate all other scales to this one. It's the base foundation.
One of the most important things to realize is that chords and scales have a very close relationship. Whenever you are presented with a particular chord progression you can quickly analyze what notes and intervals are contained within the chord and match them to corresponding scales. Musicians with a deep understanding of this will often see posibilities where others do not.
Major scales on guitar can be looked in from many different directions however there are two main schools of thought.
1. The CAGED system where a major scale is broken up into 5 positions covering the guitar fretboard 2. 3-note-per-string sclae shapes.
Most believe that the CAGED system is the purest way to hear and play a major scale. Using shapes where there are always 3 notes per string will often confuse your ear and lead it into hearing modes rather than a pure major scale. Modes are something which should only be approached after a thorough study of the major scale has been completed.
It's best to practice guitar scales with a metronome and to apply a system to breaking them up in different ways once you have finished learning the basic shape. These patterns can be to play the scale in 3rds, or a sequence of 4 or to play random notes from the scale with lots of string skipping. All these techniques will help to break up the scale and force your mind to master it faster.
The basic structure of a major scale is as follows
T T S T T T S
T = Tone or Whole Step (2 frets on a guitar) S = Semi-tone or Half Step (1 fret on a guitar)
By applying this simple formula you can work out a major scale for any key. Furthermore by understanding scales in this way you can compare the forumlas of tones and semi-tones from other scales to see exactly how and where they are different from a major scale.
Other important guitar scales include the pentatonic scale, the harmonic minor scale and the melodic minor scale.