For me, the best way to learn the game was by playing games using the Henchman Hardcore format. 4 models, 20 points, Henchman-led crews, fixed strategy/scheme... It allowed me to focus on learning the rules without worrying about Masters, too many models, too many strategies/schemes, etc. It also provides a good gateway into playing in organized events. I had only played about a half-dozen games before I participated in my first Henchman Hardcore tournament. Finished mid-pack too!
Oh yeah. I should probably mention... It is also a very fun format to play!