I taught myself using jQuery in Action. I knew little to nothing about Javascript, and nothing about jQuery. Within a week (about how long it took to read the book cover to cover) I was up and running, and I've never looked back. Once you know the basics, you can learn about jQuery in depth by looking at the documentation.
Frankly though, the best resource I've found for jQuery is StackOverflow. Once you get a handle on it, start browsing through questions and read both questions and answers. There are certain users that really know their stuff (Nick Craver comes to mind), and following/reading their answers will help a lot. When you're comfortable with it, tackle questions yourself, even if you don't know the answer right away. You'll learn a ton.
For quick practice, or to help solve a problem, you can tinker with code on jsFiddle. It'll help you get into the code quickly, and allow you to see results immediately, so you can get a clearer understanding of what you're doing.
The last suggestion I have is to do projects in jQuery. Come up with an idea for a plug-in (even if someone has already done it) and just give it a shot. I guess what I'm saying is that the best way to learn jQuery is to write it.