Ahh pipes, a love of mine...
I'm glad to hear that you decided to give pipe smoking a try, like you my first attempts at smoking a pipe were not unpleasant, but not relaxing either. I'll offer you a few tid-bits of wisdom which have helped me get to the point that I truly love pipes
The quality of the pipe does, to some extent, affect the way it smokes and the way it tastes. Many cheaper briar pipes (and even some expensive ones) are pre-charred which helps with the break in process. If the bowl of the pipe was black when you got it, it was more likely than not pre-charred. I found that the flavor you get from a pre-charred pipe, as opposed to one which has been broken in with time and has developed it's own cake, leaves something to be desired. The pipe will also have more of a propensity to smoke hot if it has not yet been fully broken in.
There are a few ways to eliminate this problem without needing to buy a hand carved/signed pipe and breaking it in (which can be both expensive and time consuming)... The cheapest way is to get a corn cob pipe. They smoke cooler than many briars, and do not require any break in period. Another option (which is the one I suggest the most strongly) is to get a meerschaum pipe, they also smoke quite cool, do not require any break in period (and call me superficial, but I like the way they look much better than a corn cob). One final option which you can use to get away from the necessary break in period on a briar is to buy an estate pipe which has been smoked and broken in.
If you want to work on breaking in the pipe which came with your set, I'd suggest only packing a half bowl for approximately your first 10 times. This is both easier to keep lit for longer periods of time (but re-lighting is inevitable when starting out in the world of pipes), and will help develop a cake at the bottom and sides of the bowl where it will most affect the taste.
As for keeping the bowl lit, you want to keep the bottom of the bowl packed the loosest, the middle in the middle, and the top the tightest. The most common expression I've come across is to use a child's touch, then a mother's touch, then a father's touch. When you light it, the false light is, in my opinion, just a reminder to you that you are not lighting the top of the tobacco, rather it's the tobacco lower in the bowl which needs to be lit and that will keep the pipe burning. When you tamp your pipe, it helps to draw on it at the same time, this will help prevent the bowl from going out when you tamp it... and will actually help light parts which may not have taken to the flame the first time. Don't stress yourself over not having a bowl stay lit the entire time that you're smoking it... that comes with practice, and time. Even if you aren't intentionally "practicing" packing or lighting a bowl, every time you smoke one, you're gaining additional practice.
In regards to your question about if it's packed too loosely, I wouldn't exactly say it would make it go out more often... although it does... that's not the main concern. (The reason it will go out more often is because the tobacco which is already lit has less surface area touching other flakes of the tobacco in the pipe and by default less of a chance to transfer it's burning quality to the rest of the pipe.) A pipe that's packed too loosely will burn both too quickly and too hot and you will be losing flavor and the enjoyment that comes from smoking a pipe if you pack it too loosely. You want the tobacco to be "springy", and to be able to draw air through it before you attempt to light the pipe.
Any tobaccos out there taste as good as they smell?
Yes! But I must place a disclaimer on my answer, as you spend more time smoking pipes you will come to love the smell of the tobacco, not the casings that they cover the tobacco in to give it a more aromatic smell. Pipe tobacco smells amazing, and tastes amazing as well. MANY of the aromatic "flavors" of tobacco quite frankly taste awful. My suggestion would be trying a plain black or gold Cavendish, or a Virginia, because they tend to be sweeter without polluting the taste of the tobacco with synthetic chemicals and such used to case the flavoring into (well ON to) the tobacco.
I have found a few aromatics which taste ok, but my recommendation would be to talk to your local tobacconist about what characteristics you like from the cigars that you smoke, and asking what type(s) of pipe tobacco would be best suited to you based upon that information. You may also want to try a bit of the "bar mix" at whatever shop you go to. Bar Mixes are comprised of the left overs from mixes that people have custom made for them at the tobacconist. These leftovers (from the mixing bowl) go into the jar as "bar mix" so you never know exactly what you're getting but I've found some of my most tasty bowls have come from the "bar mix"... Mind you this is not the way that you'll find a tobacco that you like and will stick with (because it's an ever changing mix based upon what other customers just happened to be mixing lately), but I do suggest you try it at least once or twice.
One final note on the topic of assessing various types, flavors, and smells of tobaccos...
Tobacco Reviews is a wonderful resource.
Good luck with the learning curve of pipes, it may take a while to "get it right", but it's well worth the time! If I can be of any further assistance just let me know.
