Pigeon Valley was probably the easiest and most convenient of the walks from Göreme. And while it wasn’t the first walk we did, I’d probably recommend it as a good starting point (unless, like us, you start at the Open Air Museum, then the Rose Valley walk is most convenient).
Just up the main street, from the bus station and past the ATMs (yes, they use the bank of ATMs as a landmark in Göreme), you’ll find the beginning of the walk. It’s on the outskirts of town but only about a kilometre from the centre. 
The path takes you along river beds and old dirt tracks, pasts cave churches and homes before a fairly steep ascent to a little cafe with great views back down the valley.
From here it’s about another kilometre to Nevsehir where you can either explore the town and its crowning castle, or veer right like we did, down the hill to the start of the Love Valley walk.
All up the walk took us about an hour and an half tops but you could definitely spend more time exploring the caves and churches if you had more time.
