I have used all of these systems except Autodesk inventor (though I have used AutoCAD) at different times over the last decade. I currently use SolidWorks for most of my CAD. Here are my recomendations:
Autodesk Inventor: If you just want to dabble but still have a real production system this tool is O.K. If you want to do any serious CAD work avoid it. It's fairly cheap (I think) but Autodesk's products are not used much outside of Archetecture. I don't care for AutoCAD's interface, but I havn't used Inventor so I can't really comment on that.
Solidworks and ProE: Both of these are solid systems with similar and very useable and good for production CAD work. I know with SolidWorks you can buy a student version for less then $200 which is fully usable, but you are signing an agreement to use the product for non-comercial purposes. A full licence is ~4,000$.
CATIA: This is the 800 lb Gorilla of CAD. While SolidWorks and ProE will do most everything you need, they don't do as well when you want to work in a large collabrative environment. If you want to desing something with more then a hundred or so parts up to a commercial jet it starts to shine. Of course that spit and polish will cost you on the order of 10,000$ to start. I don't care for the interface in CATIA as in SolidWorks or ProE, but I learned those before CATIA and that may be a product of likeing what I learned first.
If I was going to get something for myself to play around with I would go for the student version of SolidWorks. If I wanted to design something for a commercial purpose I would either work with the low cost solution or, preferable, spend the $$$ to get a commerceial version of SolidWorks.
-Kirby