The links that are at the Wiki in the Shader section are great places and I look at the DXSDK docs alot.
It mainly is just a matter of looking over the docs, the code samples, and then playing with things to see what happens. I've browsed a few books here and there and found that they seem to echo what is already at MSDN or the Shaderx sites. Hmmm... I seem to visit Flipcode, Gamedev, & Gamasutra sites alot.
And naturally, the great effects that the others here have posted are bits of gold.