I often get questions about where to begin when you want to start developing in SharePoint. This question is quite tricky, because you can approach it in many different ways. Just start with your first web part or first dive into the wide range of functionality first?
Personally I would approach it this way:
I also read that there is a new web site online for SharePoint development. Check it out here: http://www.microsoft.com/click/SharePointDeveloper/
Good luck!