For the easiest setup, I recommend using the New World Studio. It's great for first-time OpenSim users because it sets everything up for you -- the database, the OpenSim server, the management front end, your first avatar, and then logs you right into the world. It also gives you a nice choice of starting regions -- and you can download a bunch of other free regions (in the form of OAR files) from Linda Kellie, with all content CC-licensed for any use anywhere (including commercial use).
New World Studio: http://newworldstudio.net/
Linda Kellie OARs: http://zadaroo.com/?page_id=1588
If you're running it on a typical home machine, and just accessing it by yourself, you can easily get up to 16 regions on a little mini-grid. Set it up as a megaregion if you don't want border crossings (New World Studio has "megaregions" as an option). When you don't need it, just turn it off. You can have as many of these grids stored on the computer as you have memory.
There are both free and commercial versions of New World Studio (all the basic OpenSim stuff is free -- with the commercial version you're just paying a little bit for a nice, user-friendly interface). But you can get the free version to do just about anything. Here's my article about it: http://www.hypergridbusiness.com/2013/04/making-new-world-studio-work-for-you/
As Waverider already mentioned, you can't teleport from OpenSim to Second Life. However, if you enable hypergrid on your little minigrid (it's on by default with New World Studio) you can teleport to hundreds of other grids, and people on those grids can teleport in to see you if you give them your address. Up-to-date list of all the active OpenSim grids and their hypergrid addresses is here: http://www.hypergridbusiness.com/statistics/active-grids/
Keep in mind that with a typical home connection you're not going to be able to get more than a couple of visitors at your minigrid without seeing lag. To avoid that -- and to ensure that your regions are always up -- you can rent server space, or hire someone to host your whole little minigrid.
List of hosting vendors is here: http://www.hypergridbusiness.com/opensim-hosting-providers/
Expect to pay $10 to $25 for a low-traffic region, $25 to $50 for a moderate traffic one (SL-comparable) and $50 and up for a high-traffic, high capacity regions. Some vendors offer up to 100,000 prims and up to 100 simultaneous avatars.