When I got my Arduino I also ordered a book called "Getting Started with Arduino" by Massimo Banzi (Amazon). It's written around the Duemilanove, but pretty much everything should still apply to the Uno. It is an extremely short, extremely easy read. That's because it's pretty dumbed down, but that's a good way to make sure that you have all the basics. Spend the $5 on a used copy, read it in one sitting, bam you're done. Once you're ready for a more advanced book, consider Practical Arduino.
Also, the Arduino Homepage has tutorials and project examples that should help the whole way through.
EDIT: I second lammi in that it is very helpful to buy some kind of kit with a breadboard and an assortment of jumpers, resistors, etc for experimentation before you have enough experience to know what you'll need in advance.