I really like building pedals. I've been getting into it pretty heavily over the last couple months. I've built 2 wahs, and a fuzz so far. Smallbear has some cool projects that teach you how to breadboard, and it comes with all the parts. I like what Madbean has to offer, too.
I've found the best way to learn is just get in and do it. Inevitably you'll run into a problem that will force you to learn how and why the voltages are what they are, and what components could be changed, etc. It's addicting.