I've been thinking about getting into Monster Hunter for a while now, but every time I think about it I keep hearing about how hard it is for new players to get into the game.  Now I heard they put in a tutorial in Monster Hunter 4 Ultimate to help new players, but I also hear it leaves out a lot of things.  I also heard they put in a real story mode into the single player and its the best MH to date so I think its about time I gave the series a shot.

Is there anything I need to know before I try it and I'm wondering how the online works?  Non of my friends play MH so if I'm having trouble killing a particular monster am I still gonna be able to get help from other players?  

The tutorials leave out a lot of things by necessity, although the games also walk you through what you should be doing the first time you have to do it, like Capture Quests.

Honestly there's not much more complicated than Capture Quests from a basic gameplay perspective. The rest is finding a good wiki to explain how the hell the weapons tree works so you can get where you need to without having to dick around.

Play the PSP ones, they are dirty cheap

Yep the game requires some online research so you can plan ahead slightly. It also helps to hop on with a few people, possibly other forumers, so they can help you and it makes the game more enjoyable.
Once you get into the swing of things you can find yourself wasting an ungodly number of hours into this series.

What kind of things do I need to research?

Aye, i plan on playing this game for two months solid almost, until the weekend after Easter from the day i buy it, and likely won't be where i want to be (which was my stopping point in Monster Hunter 3U: have all lance elements maxed out, plus a good sleep lance, and the armor necessary for that).

Not going to lie. For me, the first 10 hours sucked. Yeah, getting used to how it works can be tough.
Once you get into the game though, you'll never get out.

Kinda want to start at MH 4 Ultimate for the tutorial and because it has a real story.  I also hear its the best one so why not start at the best.

Yeah start at 4. No point going back to earlier ones at this point, natural progress as the series continued has probably aged them a little bit.

Agreed, don't think about getting into Monster Hunter.

Just get into it. No thought required.