To add to Grayscale's great input. The pico he linked to, mine (very flattered by the way

), is an extremely difficult system to do. It's a nonphotosynthetic tank, which means that the showcase corals need daily+ feedings. This takes a HUGE toll on water quality. I do multiple water changes a week to ensure that the corals have clean water quality and yet also must maintain heavy feedings. I've got a busy work schedule. There are days where I'm doing a water change at midnight. I can't say "oh let me do the water change tomorrow" in this tank or "let me skip a feeding". No margin for error.
A lot of the smaller fish for picos are also difficult to care for and require special types of food. I've got live cultures in that tank to keep a continuous supply of food.
IMO, unless you've got a lot of FW experience, specifically with FW picos, which I happen to have, I don't recommend a pico for a first SW tank. You have to be on top of maintenance like nobody's business. Compared to that 4g, my 8g and 36g are practically snooze fests with regard to maintenance.
Besides so much nicer to setup a 30g or so. Or a 40g breeder. I love those tanks. Great size, but not so huge that the water changes become a hassle. In this hobby, I have found that if it becomes a hassle, you'll not want to do it and then the tank suffers. Right now, I don't consider my maintenance regimen a hassle, so I'm up for the extra work. If this isn't you, and there's absolutely nothing wrong with that, then don't do a pico. Picos don't usually last more than 4-6 months because they're hard and people can't keep up with the maintenance.
L