When I was getting started I bought the "Programming in Lua"[1] ebook, by the author of Lua himself.

There's an older edition available for free online[2].

Then there's of course the lua users wiki and its "Learning Lua" section[3].

I find the wiki a little hard to navigate so I just went ahead and bought the book. IMHO the gems in Chapter 10 (Complete Examples) and the clear explanation of coroutines are alone worth the price. The rest is a very nice bonus too.

[1] http://store.feistyduck.com/products/programming-in-lua [2] http://www.lua.org/pil/ [3] http://lua-users.org/wiki/LearningLua