Webcasts and Virtual Labs
For me, when taking on something completely new, I need to actually do something in addition to reading about it or watching some type of video. While these are all great ways to get up and going, nothing takes the place of actually doing.
It always amazes me how much attention Microsoft places on the developers. They offer numerous resources, much of which I think are unknown to the general community. My favorite and often untapped resource from them is their Webcasts and Virtual Labs.
I usually watch a webcast or two and then follow it up with doing a Virtual Lab. These Virtual Labs are amazing as one can establish a session with one of their virtual machines that are completley dedicated to the learning of something specific. I mean, you get an entire development environment at your finger tips along with a step by step instruction guide on how to do whatever it is the lab is teaching. It's always been super helpful when I'm learning something new.