I'm currently studying a book called "Step by Step - HTML and XHTML" from Microsoft (written by Faithe Wempen). It comes with a CD and is packed with useful information and exercises to apply the lessons learned in each chapter.
To practice what I'm learning, I started a free website hosted by 50webs:
This website is my student's notebook where I save information for future reference. It doesn't have all the details, though, just the things I don't want to forget.
I will add to it as I go through each lessons. I've completed the first five lessons so far. Now I'm getting into style sheets.
It looks kind of plain right now, because I haven't learned about frames and layouts yet. It will get better as I learn.