Here is an excellent tutorial (a little outdated, though) to get you started:

http://www.ladyada.net/learn/arduino/

Lesson Plan:
Follow these lessons to get started

•Lesson 0
Pre-flight check…Is your Arduino and computer ready?
•Lesson 1
The “Hello World!” of electronics, a simple blinking light
•Lesson 2
Sketches, variables, procedures and hacking code
•Lesson 3
Breadboards, resistors and LEDs, schematics, and basic RGB color-mixing
•Lesson 4
The serial library and binary data – getting chatty with Arduino and crunching numbers
•Lesson 5
Buttons & switches, digital inputs, pull-up and pull-down resistors, if/if-else statements, debouncing and your first contract product design.
•Lesson 6
LEDs in more detail, Kirchoff’s Voltage Law, Ohm’s Law and a peek at the potentiometer