Yes, investing early is the best way to go for retirement or just the future in general. At the age of 22 you can bear more risk that someone my age who doesn't have the time to earn it back in case of losses.
Study mutual funds by going to the websites of places like T. Rowe Price, American Funds etc. Smart Money magazine has a great website with lots of info for the beginning investor.
If I were you and just starting out, I would have a visit with a fee-based investment counselor. That way they are not trying to sell you something and you can pay for a visit and get some good info. on where to begin.