Buy Sahil Malik's Microsoft SharePoint 2010 Building Solutions for sharepoint 2010 book from appress.
The tutorials on Channel 9/Microsoft are excellent for SP2010 however, setting up a development environment or using a VM will be extremely useful for you to get a good learning experience. Sahil Malik's book has a information on setting up a dev environment. Key for me is have AD, SP2010 Enterprise & SQL developer edition on each development machine.
More Info on Setup:
If you have a technet subscription you have all the software licences to build a complete developer machine with the exception of Visual Studio 2010. I would use HyperV running Windows 2008 R2. As your setup will be the easiest. Tip: When installing SP2010 do't go for the staldalone option.
All the additional dev tools I use are listed here: