Any and all non-repetitive resources for learning embedded programming should go here.
I'll start us off with the obvious.
The Arduino is an extremely inexpensive microprocessor with plenty of I/O pins to do everything you'd want.
http://arduino.cc (note: They don't sell the product; you'll need to buy it from a supplier.
My recommendation for beginners: Buy a pair of Arduino Duemilanove microprocessors. 95% chance you'll burn one by accident.
For the more advanced user, you might want to learn more about how the arduino works by
making one yourself. You get the components and a breadboard and wire it up. This may even be cheaper than buying one! Though obviously less useful.
You can buy an Arduino starter kit
from adafruit. Not terribly expensive, either.
Ladyada is a site run by a very competent ... lady (as the name would imply). She has a huge amount of projects and kits for sale on her site (with full-picture instructions for soldering, etcetera.) More useful projects include the MintyBoost, the XBee Arduino shield, the protoshield, and the motor controller / motor shield.
http://ladyada.net