I'll speak from my own personal experience, as I'm currently making my first feature film as well (check it out here, and help us out if you're feeling generous! -
http://www.kickstarter.com/projects/jasmerrin/sleepwalkers-feature-film)
I certainly wouldn't recommend making a feature film to someone with absolutely no filmmaking experience. I've been making zero budget shorts for years and years, using my own personal equipment, friends as actors, and music I don't necessarily own (oops). That was a great way to cut my teeth and really learn the trade. But when it came time to invest in something that I could really hang my hat on, something that would act as my calling card, I knew I wanted to do a feature film. Here are all the reasons why:
1. It gives you an opportunity to stand out. You mentioned you've seen a lot of amateurs doing feature films, but there are SO many more putting out short films. These days it takes a miracle to gain any traction on sites like Vimeo or YouTube, because there is so much content coming out all the time. And if you notice, most videos that get sent around aren't narratives. There are far fewer people who actually commit to making a feature film, and far fewer than that who manage to pull it off. Finishing a feature film is an accomplishment in its own right. People might not watch your feature, but they'll be impressed that you managed to get it done. And if you manage to get it in any festivals, that's a huge step forward in terms of your career and credibility.
2. It's a learning experience. I have almost 80+ shorts of all kinds (music videos, narrative, documentary, animation) on my YouTube page, and nothing I've ever done prepared me for making a feature film. We shot with a crew of about 10, a main cast of about 6, a budget of about $15,000 and a timespan of about 3 weeks, and as small a production as we were the scale was like nothing I could have anticipated. I feel like I learned as much on that three week shoot as I had in five years of making shorts. If I hadn't had those five years of shorts, the production would have completely bowled me over, so again - I recommend shorts first (even just rough, shoddy, experimental work).
3. It's a challenge. Okay, maybe this is sort of the same as #2, but every time I go to see a feature I think to myself "man, I wish I could do that." So this was an opportunity for me to put my money where my mouth is and try to actually accomplish something monumental.
4. Shorts and features are different beasts. I'd say a feature gives you more room to play. This one is really big, which is why I saved it for last. It's really hard to reinvent the wheel in the short format, especially if what you're interested in is narrative structure and well rounded characters. There's so little time to really develop and flesh out that you need to make hard choices. You wind up having to cut things, or hinge on a gimmick. The short film District 9 had no characters - it was all premise and world building. The wonderful short Mama was based on hinged on a gimmick, the whole short film being in one shot. And many other short films forgo high concepts and complicated narratives in favor of just spending a lot of time with one character and getting to know him/her really well. The idea being, there's not really an opportunity to flex all of your muscles as a storyteller. I think there's a tremendous opportunity to take advantage of those limitations in short film to really craft something special, but it changes your approach completely. Most of my feature scripts are really wordy and dialogue heavy... Most of my short films are silent (well, dialogue free anyway). All my work tends to be pretty high concept. But if I'm going to make a calling card that shows people what kind of a feature I would make if given the chance, I'd like that to be an actual feature.
Anyway, I hope I answered the question clearly. Long story short: I'd say practice by making cheap short films, but if you're blowing all your money on one production to try and break in (which is what I did) and you really want to make a feature, I'd say go for it. It will be much harder, but if you succeed you will learn more and shine more brightly.
And again, if you want to check out my movie (currently in post production) and decide for yourself if my investment will pay off, check out our Kickstarter:
http://www.kickstarter.com/projects/jasmerrin/sleepwalkers-feature-film