IMO, the best way to learn is to start with a Oxy/Acet setup. Not the most glorious, but will teach you how to control your puddle. Then move on to an Arc setup. Once you are comfortable with both of those, you will be able to pickup most any other methods (mid, tig, etc). It will also make it so your mig welds have proper penetration and you control your puddle/heat properly.
Like Greg said, there is nothing to mig welding...as a result of that, you can have an excellent looking weld and have no penetration or extreme under cutting. So, start with an oxy/acet setup and move on to are and then get a mig.
As for technique, you can get a lot of proper techniques from the web (check out Miller's site and Lincoln's site) or I'd strongly suggest taking a begginers welding class at the Community college. It's only a couple nights a week and even if you only do it for a single semester, you'll pickup the basics, learn oxy/acet welding and cutting, brazing, arc, and get exposed to tons of other techniques. DAT may have something as well, but the SLCC program is top notch.