Quite honestly, 3v0 taught me everything I know about PICs. You want my opinion? I suggest listening to him
My first project was the classic LED flasher. It helps you learn how to set fuses, write basic code, read datasheets and other documentation, write code to the chip, and wire everything together to work in a circuit. My second project was an LED chaser, which is basically a more complicated version of the flasher, using 8 LEDs instead of one. Turn the leftmost LED on, leave it a second, turn it off and turn on the next one, leave it on, and continue this process. From there you can modify it to go back and forth (think Cylons from Battlestar Galactica) or come in from the sides and out from the center (I'm thinking KITT, from some episodes of Knight Rider). Once you've done that you can begin working on more complicated projects, for example use a switch to select different patterns you want displayed--change it every time the switch is pressed. Then go from there.
By that point you should be fairly familiar with how PICs are used and will be able to work on even more in-depth projects.
You've told me in chat you learn best working hands-on. This is a great way to do just that, but don't try jumping in to the complicated projects right from the start. Begin with basic ones. Even if they bore you, they will still teach you. I guarantee it.
So, first things first, what PIC have you decided to start with? That will ultimately determine the compiler you'll need and how it will be used.
Hope this helps.
Matt