I recently taught myself Rx and found the following materials are helpful in understanding the concepts and the APIs of Rx.

• The introduction to Reactive Programming you’ve been missing
  This article explains how to think in reactive. It explains the core concepts of reactive programming with many examples. This is not-specific to Rx, but most helpful in understanding what reactive programming is.

• Introduction to Rx
  This is a book on Rx freely available. Part 3 is most helpful as it shows how to use each operator of Rx.

• ReactiveX
  The best way to understand a Rx operator is to draw a marble diagram. ReactiveX explains each operator with marble diagram. For example, take a look at Repeat.

• 101 Rx Samples
  This site hosts a number of Rx operator examples.

• Rx Workshop
  Video tutorials on Rx provided by Microsoft Channel9.