I originally learned R from Venables and Ripley, and found it to be the best at the time. I looked at Dalgaard, but found that I progressed very quickly beyond what it covered. It is good if there are only a few basic stats you want to do, but if you want to go any further with programming in R, it is too basic. The free Introduction to R is okay, but not the best way to get started quickly, in my experience.
What I currently recommend to anyone starting R is Crawley's The R Book. It is extremely complete and easy to read, with good examples. After using R for 6 years, I managed to pick up a half dozen new tricks just from reading the first chapter. I recommend it without hesitation, if you can afford to spend any money at all.