yes kinda.. its not a huge splash but its enough to startle you the first time... basically tiny air bubbles in the metal will pop and tiny chunks of metal will fly (like thess than a cm)... it makes these annoying little beads of metal near your weld.
personally i leanred how to weld with an oxy-acetelene (sp?) torch. i find that if you learn this way first, you get a better understanding of what exactly it is you are trying to accomplish with the MIG... i've never used a Tig..
with a gas welder, you have to heat up the metal gradually by yourself, forming the 'puddle' by controlling how intensely you heat up one spot. once you see the 'puddle' (it litterally looks like a puddle of metal) you just kinda start painting with the rod, filling in where youre heating with the torch where you want to weld. the puddle is the key to penetration. You must also heat up both sides of the weld, you cannot rely on just globbing metal on top. this is this first mistake i made when learning.
if you decide to never use a torch (which is very bad assl, and required in the aviation industry) than a mig is a bit trickier to learn on. You dont have the time to gradually heat up the metal to form the puddle, the puddle is INSTANTLY created, and the metal forcefully inserted into it... you HAVE to make sure you are 100% ready to start welding the bead as soon as you pull the trigger. you cant go too fast along the weld, but you cant go too slow... you need to look PAST the sparks and the flames and whatnot and actually look at your puddle/bead and concentrate on forming the bead and nothign else. it can be quite distracting when you first go at it, but it doesnt take long to get used to.
best advice i can give though is learn the basics on a torch... i did, took me 10 minutes to learn how to weld with a torch... when i tried mig, my very first bead was insanely beautiful looking. Of course, my dad did explain to me very well what to do and how to do it. It's all in the instruction.