The easiest way to establish credit is with credit cards. Department stores will usually extend credit to anyone with a steady income. Even though it is usually a small amount, this is enough to start establishing credit.

A secured card is also an option. You pay up front the amount of the card, so this is a "no risk" situation for the lender. You'll still be building credit.

Auto loans are easier to get than a home mortgage, but with any large amount of debt, if you do not have an established credit history you may pay a higher rate. Make sure the finance company reports monthly to the credit bureau. Some smaller finance companies do not. If you are trying to establish credit this could be important.