My foray into the world of F# began with an installation of the VS 2010 Beta 1. The Beta comes with a tutorial project for F# and I was astounded by the similarity with OCaml. I had never taken a look at the language before but after this, began exploring the same in my free time.
I found out that there was no wonder about the similarity with OCaml since both share the same core principles. The Programming Paradigms lab at NITC had given me exposure to OCaml. As the F# homepage says, F# provides a combination of scripted,functional,imperative and object-oriented programming language. That is 'scripting' added to OCaml.
There are quite a few good resources on F# on the web. Apart from the F# homepage, there is the F# developer center in MSDN, the learn F# page in the same place which has a set of videos on F#. I would particularly recommend the introductory presentation video by Luca Bolognese.
The F# language specification(draft) is available here.
Some advanced materials:
Brian McNamara's Weblog
Don Syme's WebLog on the F# Language and Related Topics
I find F# interesting because it adds a direct scripting capability and a certain amount of geekiness (try reading code written in F# and compare to C# :) ) to .NET .
Other wonderful stuff built in are the direct support for async patterns and the things about parallel extensions.
Go take a look. :)