Yes, Eve is the closest, and it has thick atmoshpere (like twice as thicker as Kerbin's), so you can land very safely. On the other hand, you must be very cautious when landing on Duna, as its atmosphere is very thin, and if you don't put enough chutes on your vessel (or have landing rockets), you won't survive the landing. Also, there are really high mountains on Duna, and parachutes might not open early enough to slow you down - which is not really a problem on Eve. But as a beginner, don't even try to go back to kerbin from Eve, it's not impossible, but it's really challenging (maybe with an Apollo-styled landing). Returning from Duna is much easier.