So many options!
Mac OS X comes ready to get straight to programming in Java, Perl, PHP, C/C++ or shell scripting in all the Unix shells (tcsh, bash, ksh...)
If you want to accomplish Unix-type things, then you'd best start with a shell scripting language. The documentation on these is in man pages, though you'd be best off buying a cheap textbook if you want to learn it, as the man pages are really just for reference.
If you want to achieve "web-page" type things then Perl and PHP are great options (this forum is written in PHP). I'm quite a fan of Perl: you can do some neat things with it.
If you're looking to write full GUI applications, a good place to start is with Java; because you can learn from Java textbooks written before Mac OS X, and run all the examples, then simply transfer that knowledge to writing Cocoa apps.
The best place to start, though, is by signing on at Apple Developers' Connection:
http://www.apple.com/developer/
Get the developer tools installed (the CD should have come with Mac OS X, though it can be downloaded or ordered from Apple)
Pick a language, make sure you have its entire API (Application Programmers Index) either on paper or bookmarked on the web, grab a textbook and start experimenting.