Matlab is a good starting point. It has the necessary toolboxes and functions that will allow you to capture audio signals, run different kind of filters over them and write them to wav files. The UI is easy to navigate through and it's simple enough to generate plots and visualize results.
http://www.mathworks.com/products/signal/
If, however, you're looking to develop real-world applications, then Python can come in handy. They have toolkits like SciPy, Numpy, Audiolab that offer the same functions as Matlab does.
http://www.scipy.org
Link
http://scikits.appspot.com/audiolab
In a nutshell, Matlab is good for testing ideas and prototyping, Python is good for testing as well as real-world application development. And Python is free. Matlab might cost you if you're not a student anymore.