When SharePoint 2003 was released, the biggest gripe of its champions was the the near-total lack of documentation. With MOSS 2007 we're just on Beta 2 and Microsoft already has a wealth of developer documentation, online training, and Virtual Labs.
I completely recommend the Virtual Labs; these are actual virtual machines hosted by Microsoft, not scripted Flash stuff. Which means that in addition to working through the step-by-step lab manuals, you can veer off the track at any point, click around to your heart's content, and really understand how it all fits together. Because hey, that's how we learn best.