The Visual Studio support for F# is a very significant factor. Because F# is strongly typed intellisense picks up errors immediately, and the tool tips showing function types (eg. "int -> bool") are invaluable. Getting to grips with the functional type system is probably the biggest barrier you will face, so, if you've got Visual Studio, then this should be a major plus for F#. (Intellisense just for learning the syntax is also very helpful)
On the other hand, whenever I look for on-line resources on a functional topic (eg. pattern matching, curry functions), I am impressed by the depth of the OCaml community. When I got started with this a year ago, the on-line tutorials and manuals for OCaml were vastly superior to F# (and probably still are).
I actually got to grips with F# by working OCaml tutorials in Visual Studio :)
[Edit, May 2010] With the changes to F# in the last year, I would no longer recommend OCaml for learning F#. The differences are just too significant, and would require you to "unlearn" a lot of OCaml. Best to go straight for one of the F# resources.