I started out with GameMaker's Apprentice, which was a texbook for a class I took. It was very well written, clear and easy to follow. I got enough of an understanding of how GM8 worked from it, and since then I've relied on the GMC forums, docs.yoyogames.com, and sites like gmlscripts.net and tutorial channels on YouTube like Heartbeast and Shaun Spalding's. There's a lot of great material out there for free these days.
As I taught myself stuff, I took notes, and published them on my website,
csanyk.com, and they get a fair amount of traffic every day, too. I found that writing out lengthy explanation for how stuff works really, really helped me to solidify my understanding, and gave me a reference to go back to that I'd guaranteed understand if I needed a refresher. I'm sure they've helped out tons of other users over the years, as well. Occasionally I get a compliment or a thank-you from a reader. It always makes my day.