I started off with Chris Hodapp's Dummies book as a primer on the fraternity and the various branches, history, etc. After that, I started asking other brothers what books they might recommend.
While Mackey's Encyclopedias are not gospel by any means, they do contain a ton of information that can get you started on your path. My paper for Texas Lodge of Research was regarding the presence of the altar in our lodge rooms. They didn't look like what Mackey described (horned). Do a little digging and you'll see that the altar has not always been a part of Freemasonry.
I would recommend joining research societies, especially those that put out bulletins and transactions with submitted papers for review. Texas Lodge of Research and the Scottish Rite Research Society are both good ones.
You do not need to be a SR mason to join the SRRS.
I cannot recommend the Masonic Society highly enough. I joined in 2009 and they have been an invaluable resource. The brothers of TMS are worldwide, and the private forum allows for some in-depth discussion. When local brothers say that things have always been done one way or another, it's nice to know that that's not always true. TMS also publishes a quarterly journal, and the papers contained therein are definitely worth reading.
Forums in general are a great place to get in contact with brothers outside of your area and learn more about the Craft.
I honestly think one of the best ways to learn is by doing. Interested in the history of a certain aspect of Freemasonry? Write a research paper and submit it to one of the research societies for publication. If you can convince others of something they didn't know before, then surely you yourself learned something in the process.
Pictured below is my modest masonic library. Not pictured is my set of the first several years of the Texas Mason magazine. They were much smaller, but much thicker in masonic material, originally. Our secretary was just throwing them out.
I've also got the last several years of the Transactions of the Texas Lodge of Research. TLR is supposed to be selling a CD with pdf's of the first several Transactions soon. That'd be a mighty fine place to start!