I've been reading the new Pragmatic Programmer book, which is still in beta form. The final printed book will be released in December 2008. It's pretty good, and walks you through step-by-step. I must admit, it's been difficult so far since I had zero experience with Objective C, XCode, Cocoa, etc., but hopefully the concepts will click soon.

http://www.pragprog.com/titles/amiphd/iphone-sdk-development