I started learning HTML through http://lissaexplains.com/
I then learnt even more HTML, and also CSS, through one of Digital Tutors' set of video guides.
I then learnt PHP by playing around with scripts like SMF, learning about how it works and how to add or edit functions and features.
SQL I'm still nowhere near secure with it.
I learnt all of my Photoshop Skills through a graphics community (premium-graphics.net - now unfortunately shut down), and then practising myself.