I suggest that you start by learning the theory that will allow you to achieve what you want to learn.
For example, if you want to write your own songs or understand which chords go well together, learn some basic chord theory. If you want to become a better lead player, then some basic scale theory comes in handy. As Coop47 mentions, if you want to learn to sing harmonies, then learn some basic supporting harmony theory and how chords are built. You'll end up learning pieces parts of theory as you go, and you can explore as needed. This is also part of the fun of the journey.
Also, jumping into complex theory like how to use modes will be meaningless unless you have context to apply it. It's possible to just get a high level overview of basic theory without crunching out exercises, i.e., practicing single note arpeggios in every key for all chord types (uggh), to get a better overall picture of how music works.