I mut say my experience is really similar to yours. I also used Joomla before to come to WordPress, and my first steps with WP were not easy (that wa back in 2006 I think). But I didn't turn back to Joomal: I had realized that Joomla was way too much for what I wanted to do (a personal blog).

I looked around for help and I discovered wpdesigner, still maintained by Small Potato at the time. It became my main source of information for all things related to WordPress, and thanks to his great tutorials I got more and more familiar with the code, and started browsing the codex to get to know things better.

I remember that I first started playing with my sidebar. I had discovered the PHP widget plugin by Otto, and started displaying different elements on my homepage and article pages. It helped me understand the template hierarchy thanks to the conditional tags.

To conclude, I'd say that my first steps to WordPress were really good, thanks to all the tutorials that I could find. I don't think there is so much documentation for other CMSes (correct me if I am wrong). WPdesigner has now disappeared, but there are many other great sites out there!