I've generally found that when starting off, objects such as Koosh balls tend to be fairly useful, because they have edges that you can catch if you miss the main mass of the ball.
Also, remember this. When you're first learning to juggle, what's happening isn't a matter of "oh, I'm going to catch on eventually, and everything will be fine." It's not you that's learning.
It's your body.
We all build up patterns in our minds, things we can do automatically through repetition. And that's exactly what juggling is...through repetition, you're teaching your body a pattern to follow that involves continually catching and throwing a number of objects.
Also remember, some people pick up juggling really fast (I had a friend who picked it up in an afternoon) while others take long periods (I took 3 months, at around 2 hours a day, just to get my first three toss catch down.). Don't become discouraged, we all have our different specialties.
If you can, take the juggling equipment with you everywhere you go. I have six juggling balls with me in my backpack, so that I can practice at random moments, teach people to juggle, and juggle with people who already know how. It's a great ice breaker, helps the mood of social gatherings, and is generally a fun thing.
Also note, when learning, that a helpful thing is to practice at arm's length from the wall. I have noticed that many starting jugglers have difficulty with the balls moving away from them (in addition to throwing them too high) and thus are constantly losing the pattern (and their will to continue).
By standing at arm's length from the wall, you guarantee that the ball that flies outward will come back to you. With enough practice, you'll quite hitting the wall so much and will not have to worry about it, but in the beginning it's very useful.