That is a really good question. I asked it when I was starting, and I am still asking questions....
What is your level of Excel and what is your level of programming?
What I have found to be helpful is the book by Walkenbach, VBA for Dummies. Everything else was too much info in the beginning. I have no programming experience, so I really had no idea of what I was doing or what I was getting into when I started.
Yes the macro recorder is a really good thing, but I did not begin to appreciate it until I really began to understand the idea of VBA was a Object oriented language and what that really meant.
Understanding the VBA help module, not just using it, but how to use it, what all the different things are....
I also joined VBAExpress.com. It does not have the same amount of people contributing or helping as MrExcel.com has, so the response time with answers or amount of answers is not as quick or robust, we are downright spoiled here with all the great people, but the board members there are just as nice and willing to help and it is dedicated to VBA. There you can get a lot of great examples to study, which is where I am now, studying other people's work which really helps.
They also offer a class which I am enrolled in and find it very helpful.
Other than that, post a lot and good luck,
TA,
Doug