(Another example of a constructed language is Klingon, as seen in the Star Trek movies and television series - but let's get back to the subject at hand :) 

Almost ALL Esperanto references are completely free! You can start with a great little program that plays on your computer and lets your hear the correct pronunciations - go here to get Kurso de Esperanto

My own limited experience with Esperanto was with an easy to follow book and tape set that I borrowed from the library. (It is called Teach yourself Esperanto, by J Cresswell and J Hartley and is available on Amazon in both new and second hand) 

I found myself understanding an amazing amount of the written text after about 30 minutes, with my High School French language lessons helping a lot - it actually sounds a lot like the Italian language, and is based on Latin in many ways.  

A guy called Don Harlow has put up a very informative site on Esperanto with history of the language, and links to the Esperanto organisations in dozens of countries

The Esperanto page at Project Guttenberg has several e-books courses, as well as a couple of English-Esperanto dictionaries (ALL resources on this site are totally free!)

Breaking news - Internacia Televido launched in November 2005 - the 1st on-line television programming - in Esperanto. I recommend your learn the language 1st, but this should become a great resource for students of Esperanto! I did have some trouble getting it to work correctly, but I am sure it will improve with time

Other great sites include

Lernu -(means "learn" in Esperanto) has many different courses, from beginner to advanced. Lots of free downloads, forums, mp3 files, and links to other useful Esperanto resources

The Canadian Esperanto group have a simple and fun course that is very easy to follow to learn the basics. Follow their links to a huge number of other resources as well

This page lists dictionaries and translation sites for Esperanto

...and don't forget to check out your local library!