I've started to read all available apple docs on this topic. A fast overview gave me a number of about 8.000 (eight thousand) DIN A4 PDF pages. About 10% of the content is almost equal for my feeling. After reading for 2 weeks now, I figured out that I would forget fast what I have been reading a week ago. Unless I start to do something with the knowledge, it's like a drain in the brain.
What are your learning strategies?
write the code as you read/lean about it (like hello world, kind of things). That is the only way I can seem to retain things.
Once you have signed up with Apple to use the iPhone SDK (it's free to download and play around with, you only have to pay if you want to sell your apps on the App Store), you get access to some really great developer resources - forum, documentation, sample code, etc. I would highly recommend using those resources as a good starting point.
Download a few of the basic sample apps from Apple to get an idea of how things fit together. Developing on the iPhone is definitely a lot different from other kinds of development, so it's great to have examples to work from and use for reference.
Stanford University has a free course (here) that you can download from iTunes U. It contains both videos and PDF files, and after each lecture there are assignments, which you can use as ideas to develop.
Comming from the Java world, what I think can be the most difficult to learn is:
The forums and documentation Apple provides is very good as well, and should be a reference for anything you do.
Here's what I did (I come from a Java/C++ background):
Starting off
That should get you reasonably up to speed and developing basic applications. (I have not seen the Stanford video lectures yet, but I think that's a very good way to start too)
Getting better at it
You should be up and developing applications by now. If you're stuck or need advice, here are some additional resources:
What to do when you're stuck
(I'm not sure if the above resource list is good enough -- but others can correct me)
Until I get some feel for the environment I am in, I tend to run through example code and/or tutorials... but I never follow them exactly. Always change some value, some detail some method of implementation, and observe the results it has.
Just following directions I never learn anything. Changing things, and seeing the effects it has, I learn a ton.
This document is the language rosetta stone from C++/Java to Objective-C (lots of stuff for Java people in there):
http://ktd.club.fr/programmation/fichiers/cpp-objc-en.pdf
Beyond that, note that the iPhone is very heavy on capability through wide and deep foundation classes, just like Java. Try to learn them as well as you can, and be aware there are even deeper levels under Cocoa with the CF C-based calls when you need more flexibility.
Understand well the memory management model and it's easy to deal with. Here's the absolute best and simplest description I've read of how to treat memory management when using Interface Builder outlets:
http://blog.airsource.co.uk/index.php/2008/12/23/memory-management-and-nibs/
I would add something to these very good answers - choose a project and start work on it almost at once. I learn much more deeply when I'm having to find an answer for my implementation than I do when I'm reading without an ulterior motive other than "learning."
You could post another question asking for ideas for your first project.
When I am learning any new language I take the provided sample code and rewrite it from scratch. That way if I get stuck on how to do something I can flip over to the provided sample as a reference. I find simply rewriting sample code helps me, especially when there are big syntax differences.
With regards to the iPhone, I would play close attention to memory management. There is some great sample code and documentation in the iPhone Dev site.