Matthew Podwysocki's blog has been a great help to me in my quest to learn F# and FP concepts. He has a series of beginner posts (F# 101) that are very helpful:

Part 1 - Basic functional programming
Part 2 - Currying and Tuples
Part 3 - Scope, Recursion and Anonymous Functions
Part 4 - History of F#, Operators and Lists
Part 5 - Pattern Matching
Part 6 - Lazy Evaluation
Part 7 - Creating Types
Part 8 - Mutables and Reference Cells
Part 9 - Control Flow

I took the liberty of converting the posts into a PDF if you just want to print them all out and kill a few trees:

Adventures in FSharp - Podwysocki.pdf (364.22 KB)