It kinda depend on what u wanna do.
do u want to make game using DirectX directly or want to make use of 3the party "game engines".
If u want to learn using the DirectX sdk, there are many samples and tutorials out there, starting with the tutorials that come with the SDK.
If u prefer using a 3the party game engine, search for open source engine (wich are free).
i think one of the most used and know 3D free open source engines is Irrlicht engine
http://irrlicht.sourceforge.net/
For directX/XNA tutorials, this is good site:
http://riemers.net/