Initially if you want to keep a beehive you have to get queen+bees. You can start either with a few frames of brood and bees and a new queen, package or the best option with a natural swarm.

I personally recommend natural swarm for a first hive. You get to start clean and from scratch. Bees from natural swarm are eager to start building their new home and are usually much quicker to establish a colony than bees from frames with brood or package.