MacBreak Tech has a recent podcast talking about learning to program.  They begin with the question "how do I start programming games" and break it down.

1. Pick a project.  Don't learn for learning's sake.  Learn to accomplish something.  It will give you a structure to hang your learning on.
2. Pick a language.  They suggest Python, Basic, and Flash.  Those aren't bad places to start.
3. Book or class?  Think about your learning style.  Classes force the pace.  Books are often better than reference material.  They make a cohesive whole out of all the parts.
4. Borrow code.  Think about starting by modifying something someone else has already done.

Of course, the podcast is a little Mac-centric.  They don't mention Visual Basic or C#, but most of the content is applicable to any language.  If you have an MP3 player and are wondering where to start, try this podcast.