So you've downloaded the latest DirectX SDK* and start digging through the various tutorials, samples, and documentation, and you are trying to get a handle on where to start learning Direct3D 11...

The best place to start is to learn Direct3D 10. Direct3D 11 is just an extension of Direct3D 10.x, and everything you learn about Direct3D 10 is applicable. These two presentations together cover the basics of using the API, changes to debugging, comparisions to Direct3D 9, and critical performance information for understanding how to optimize the new API.

Introduction to Direct3D 10 (SIGGRAPH 2007)

Windows to Reality: Getting the Most out of Direct3D 10 Graphics in Your Games (Gamefest 2007)

After you are up-to-speed on Direct3D 10, take a little side journey to read up on the changes made for Direct3D 10.1, particularly the concept of 'feature levels'.

The Evolving Windows Gaming Platform (GDC 2008)

From there you are fully prepared for the 'delta' covered in these two presentations on Direct3D 11 proper:

Introduction to the Direct3D 11 Graphics Pipeline (Gamefest 2008)

DirectX 11 Technology Update (Gamefest 2010)

For additional material, see: Tessellation, DirectCompute, Multithreading, Textures and Block Compression, HLSL, and WARP.

Update: For texture processing, see DirectXTex. For sprites, texture loading, 'basic' shaders, geometry shapes, and a simple font system, see DirectXTK.

Note: Be sure to read "Where is the DirectX SDK?" to get the latest news on developing for DirectX, particularly if you are using Windows 8 or Visual Studio 11. There are a number of DirectX 11 Metro style app samples as well on the Windows Code Gallery. There is also a version of the Direct3D 11 tutorials updated for use with Visual Studio 11 on the MSDN Code Gallery.