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.
101 Rx Samples
This site hosts a number of Rx operator examples.
Video tutorials on Rx provided by Microsoft Channel9.