In addition to Andreas Hoffmann's links (found them very helpful when I was learning Rx)
Here are some of Bart De Smet (a VERY smart guy who explains things really well) Videos:
Kinda a run through of Rx:
Rx - Curing your Asynchronous Programming Blues
Some gory insides + some philosophy, these videos are really enlightening:
Min LINQ - The essence of LINQ
(The above video deals with how LINQ kinda relates to other things, Like Rx)
Observations on IQbservable - The Dual of IQueryable