When learning Rx the first thing is to understand the philosophy behind IObservable and how it’s push based nature compares with IEnumerable. I suggest the following one for a good explanation: A[nother] Simpler Tutorial for Reactive Extensions
Lee Campbell has nice series explaining the api and when to use them.
He also tries to keep it up to date with latest releases: Reactive Extensions for .NET an Introduction The series is now available as a book at Introduction to Rx
By the way, I have also written a blog post about solving real life problem with rx: Using Reactive Extensions for Streaming Data from Database
Hope this helps.