Some notes on SQL: 1 - Creation
Some notes on SQL: 2 - Basic SELECT
Some notes on SQL: 3 - Changing a table
Some notes on SQL: 4 - Advanced SELECT
Some notes on SQL: 5 - Database design
Some notes on SQL: 6 - Multi-table operations
Some notes on SQL: 7 - Subqueries and views
Of course you can find SQL cheatsheets elsewhere.
The Head First SQL book also has material on transactions and security, if I get a renewed bout of enthusiasm I will add a post on these items.
I used MySQL via its command line client to do the exercises, because it's about as straightforward as you can get. Notepad++ recognises SQL as a language and will do syntax highlighting, so I type my commands into it and copy them into the MySQL command line client. MySQL is pretty straightforward to install. I also installed Microsoft SQL Server Express 2008, which turned out to be a bit more of a struggle but on the plus side integration the C# .NET, which is what I normally program in, looks better than for MySQL.
I've been using with the SQL Server via SQL Management Studio (a graphical interface to databases) on the general election data compiled by The Guardian. First contact with actual data, as opposed to learning exercises has proved interesting! A lot of things that are fiddly to do in a spreadsheet are straightforward using SQL.
SQL was designed in the early 1970's, with commercial implementations appearing towards the end of the decade. It's influence visible is visible in more modern languages, such as the LINQ extensions to C# (this influence is pretty explicitly stated). Some of the ideas of database design (normalisation) seem relevant to object-oriented programming.
It's been an interesting learning experience, my scientific background in programming has me stuffing pretty much any sort of data into an array in the first instance. SQL and a database look like a much better solution for many situations.