Everyone else covered it pretty well. Oxyacetlyne is just a dark filter to allow you to see better, MIG/TIG/ARC has a UV filter to block the UV light from the arc. I've seen dumb people do quick welds without protection, just looking away, but it's not recommended. It's just like swampdonkey described, having a piece of sand in your eye. In reality, it's a sunburn on your eyeball from the intense UV light, and it hurts a lot (I guess you know who the dumb person now). It's not permanent damage, but it's not something you want to experience.

If you want to get started in welding, definitely go for the auto-darkening hoods. The auto-darkening feature is actually more for comfort, the clear shield already blocks out the UV light even when not dark. I don't think I can ever go back to having a flip up hood flying off my head evertime I wanted to run a bead or tack.

These portable welders will stick metal together, but if your goal is to learn how to weld those probably aren't the best to start on.