I am a big/ehh supporter of the learning/knowledge, but I usually dive/leap in like Trcx does, and then learn/hack the stuff I need to as I go.
Thats not saying you should not solidify your fundamentals. Learn networking, the OSI model, what a packet is, the parts of a packet, etc
Lank has a good point of choosing something/anything that will get you results/a stiffie. You want to stay interested/hungry in it, can't all be learning/boring
If you want results, doing an actual attack, use hacking tools, I would setup two VMs in virtualbox (free)
1.Backtrack that has metasploit, Armitage (awesome!), and others. Google "backtrack virtualbox" for instructions
2.the Metasploitable VM. This is a virtual machine that is holier than a piece of swiss, ready to be exploited
This will give you an instant/semi-instant pen testing setup and a target/host that is ripe/ready for the gutting/plucking
Many/most on this board, including me/myself & I would not consider this true/close to hacking, but it is a start/yeaah!. You will be using real pen/etration testing tools, doing a real/ehh attack(on a target you can not get in trouble for attacking). It is your curiosity/thirst for learning/knowledge that will take you further. Learn how those tools work, what they do. Take it from there