People learn in different ways. Some folks like to poke at the software. Others like to follow a DVD, or online tutorial. Often in my classes people will request a reading list, or recommendation for books.
Here are some books from my bookshelf.
Disclaimer: I was technical editor on all of these books, so I'm biased.
Title: Learning Autodesk 3ds Max 2008 Foundation
Focal Press
Author: Remi Breton
Contributing Author: Mark Gerhard

This book is an attempt to teach you a lot of max fast. It's unique in that it blends some design visualization workflow with a lot of character modeling/materials/mapping. Written by longtime Max user Remi Breton, you make both a building (some sort of Miami condo) and a character (a Chinese KungFu looking fellow) and animate the character walking into the building. This book is an "official" Autodesk training Guide.
Attention High School Kids - Use this book to teach yourself max if you don't know if you're headed for games/film or design viz. Disadvantage: This book has not been updated for 3ds Max 2009.
Title: Essential cG Lighting Techniques with 3ds Max
Focal Press
Author: Darren Brooker
Technical Editor: Mark Gerhard

This book is a gem. It slows you down to see what lighting is all about, both theoretical and practical technique. This book has the recipes to get your lighting just the way you need it. Currently being updated for 3ds Max 2009. Every max user should own this book.
Title: 3D Architectural Visualization with 3ds Max 2009
3DATS
Author: Brian Smith

This is a great book. Brian Smith has been using Max to make architectural visualizations for a good long time now, and he teaches you the techniques he's used when you have to get it right and get it done on time. Uses AutoCAD a lot, not for the faint of heart. Should be available in about a month. Really topquality, full-color, college textbook quality. Know AutoCAD, want to learn 3ds Max? Buy this one!
Title: Mastering Autodesk VIZ 2008
SYBEX
Author: Jon McFarland

I know, the title says VIZ, but this book is too good to pass by. At almost 1000 pages, this is a book that weighs a ton and covers a lot of ground. No one is more thorough in their technical explanation than Jon, who's been teaching this and doing this for one very longtime now.
Currently being revised for 3ds Max 2009. Look for it!