Lots of good ideas here. I will simply suggest that, when you start writing regexes, pick one tool and stick with it. And Perl seems to have the most comprehensive regex engine of all, so it's a great tool to use for learning regexes.

As Friedl points out, the implementation of regexes is somewhat tool-specific. Don't do like I did and expect your Perl regexes to work in vi, or Java, or Oracle, or other regex-enabled tools. Often they won't until they're modified.

Then again, don't panic. It's mostly knowing when you need to escape a character, but it still made me crazy for a while. Learn the basics using one tool, on one platform, and only then start crossing tools and platforms.

Just one dumb old DBA's opinion...