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XML in a nutshell (ISBN: 0596007647) is a very good reference book which I'd recommend in conjuction with any "step-by-step" style learning book.
I also thoroughly recommend the XML articles on w3schools.com , It was there that I learnt XML (in conjunction with XML in a nutshell).
If you're learning, it's good to have a real world application to apply your knowledge, and try out the things that you're learning for real.
It's all very well trying out examples in a book, but nothing helps you learn better than a real scenario in my opinion.
Why not sign up for a developer programme that uses an XML interface like eBay's or Amazon's. They're great for seeing the power of XML.