How-To
This video is really great. I actually paid to have someone teach me to spin and then watched this video and everything really came together for me.
Spindles
You can make one yourself out of a CD, dowel rod and a few other items or you can buy one.
I bought a Schacht hi/lo drop spindle because I could use it either way.
Shopping
Mielkes farm My favorite place to shop for spindles and fiber.
The Woolery Great place for information on spinning wheels and how to do things.
Getting Connected
Spin-list
Spindlers at Ravelry.com, full of information
Fiber
My favorite fibers to knit are alpaca, merino wool, Andean wool and cotton. All of these can be spun by hand as well.
Magazines/Helpful Hints
Spinning Daily (Spin-Off Magazine) Lots of articles, videos, etc.