There is a good series of CDs called 'Birding by Ear' - http://www.amazon.com/Birding-Ear-Eastern-Central-Peterson/dp/0618225900
There is a follow-on called 'More Birding by Ear'.
It introduces you to a bunch of the common birds.
Habitat is a great differentiator - you are not likely to hear red-winged blackbirds too far from water. So pay attention to the environment when looking at the possibilities.
Definitely use the Peterson field guides Birding by Ear CDs. It includes a bunch of methods of remembering many different bird songs and ways of differentiating similar songs.
http://www.amazon.com/Birding-Ear-Eastern-Central-Peterson/dp/0618225900/ref=dp_ob_title_bk
You can hear samples from the CD here:
This app also seems pretty cool: