I'll second Smitty on Walkenbach's book. It moves from medium to rather advanced and has some tips that can save you tons of work (just the tip on progamatically adding controls at design time was worth the price of the book for me). Personally I got a lot out of Reed Jacobson's Step-by-Step book for Excel VBA 97. Looks like he has one out for XL2002 - ISBN: 0735613591. The '97 book was a great primer and if you're just starting out, you might want to look into his 2002 version.
HTH