Thought I would chime in here. I've been snowboarding for about 10 years and loving it.
Here are some things to consider when you're starting out
Go somewhere with a good base your first couple times because you will fall hard.
Get a lesson. A real lesson you pay for, not from a buddy. You will pick it up a lot quicker and with less pain involved.
You already bought your bindings but you can still take them back if you haven't used them.
Your choice should depend on what kind of riding you will be doing, more than comfort. A step in snowboarding boot is still more comfortable than a ski boot and step ins will definetly be easier to learn on.
Are you going to be jumping and doing tricks (spins, grabs, manuals)? Then stick w/ strap bindings. They are more manuverable and allow for more subtle movements of the ankle. You'll notice most kids in the park with straps.
Are you going to bomb the hill, sole carve and not worry about spinning when you jump? Then go for the step-ins, they will give you more responsive edging because they are stiffer and have a more solid connection to the board. Not to mention convenience. Straps will wear you out by the end of a long day.
I've used the Switch binding and it works great (doesn't clog).