I think that the best way to learn is to look at how other people construct their themes. The first one to start one is the Default Kubrick theme that is included in the standard WordPress install. It has all of the basics and will show you some advanced techniques like including sidebar widgets. Next, in conjunction with the docs on theme development (previously mentioned by Mark), Blog Design and Layout and Using Themes, go to the Theme Directory on the Wordpress.org site, download a couple of popular themes, and go through them, looking up any template tags or techniques that you don't understand. After you do this, you should be more than well-equipped to write your own theme from scratch, or modify an existing theme to your needs.
