I have Langenscheidt's Pocket Dictionary. Don't know if it's the best one, but it works for me. It has both pinyin and characters (keywords are in pinyin), and a transcription system for finding the pronunciation of a character from it's radicals.
At the beginning with Chinese it does feel as if you're thrown in at the deep end. But it gets better. If you wanted to improve your listening and comprehension I'd think about looking on the internet for free dialogues that you can listen to with the pinyin text in front of you to help your ear get used to the sounds.
(To moderators, it should be in resources sticky too
Out of commercial products "Teach Yourself Beginners' Chinese" with audio CD's and Pimsleur (only audio!) are good for developing basic listening comprehension skills.
A multi-volume "New Practical Chinese Reader" is much more serious and teaches you different skills. IMHO, better value than Pimsleur, besides Pimsleur is too expensive and doesn't teach reading/writing at all. I haven't used it but "Integrated Chinese" is very similar to "New Practical Chinese Reader".
Another good course I heard is called "David and Helen in China".
Yes, Langenscheidt's dictionaries are good for people who have trouble with characters, besides you get to see those characters. Knowing to recognise characters is very important. It is very important to make sure you look up the right word, since there are a lot of homophones (similar sounding words). Purely romanised Chinese dictionaries are not popular. You always want to see both the writing and the pronunciation.