I learn by reading a lot of books, and working my way through several of them. I've got a bookshelf three feet wide completely full of iPhone development books, and I thought I'd put my top three up here.
1) Programming in Objective-C 2.0 by Stephen Kochan (Amazon Canada Link, Amazon US Link) is the best book on Objective-C there is. If you are a language geek, or want to know as much as you can about Objective-C, this is the place to start.
2) Beginning iPhone 3 Development: Exploring the iPhone SDK by Jeff LaMarche and David Mark (Amazon Canada Link, Amazon US Link) is one of many books doing a survey of basic iPhone functionality and how you program it. I like it a lot. I worked through about 75% of the book and found it very enlightening as I was starting out.
3) The iPhone Developers Cookbook: Building Applications with iPhone 3.0 SDK by Erica Sadun (Amazon Canada Link, Amazon US Link) is a great reference resource as long as you get the second edition. Like most Cookbook titles it has wide ranging "recipes" that give you a good idea of where you're going. I use it as a reference and for occasional reading because the topics tend to be short and easily managed.