Looks like ~s.o.s~ beat me to creating this thread. I had it half-written, sitting on my computer, until I noticed that the thread was already started :D. In that case, I'll simply add to this thread.
OpenGL http://www.opengl.org
http://www.openglforums.com/
http://nehe.gamedev.net
http://www.gamedev.net
http://www.gamedev.net/community/forums/forum.asp?forum_id=25
http://www.lighthouse3d.com/opengl/
http://www.zeuscmd.com/tutorials/opengl/
The Red Book: http://fly.cc.fer.hr/~unreal/theredbook/
Now to actually compile the tutorials, you'll need the OpenGL SDK. On Windows, this is actually pretty easy, because modern versions of OpenGL come with the OpenGL runtime, and compilers come with the SDK. So on Windows, it's just a matter of figuring out how to configure your environment:
http://www.zeuscmd.com/tutorials/opengl/02-SettingUpYourEnvironment.php
On Mac OS X, you'll need to either install the Developer's Tools that came on a CD with your Mac, or download it . Note that if you want to download it, you'll need to create a (free) Apple Developer's Account before you can download it:
Once you've got this, you still need to configure it. You can either check out my modified NeHe tutorial , or use http://www.OneSadCookie.com/tutorials .
On Linux, the OpenGL SDK is included with the major distributions (Debian, Ubuntu, RedHat, SuSE, Caldera). However, if you do not have it, you should download the open source implementation of OpenGL, Mesa . You may also want to download FreeGLUT . The last part of this web page will help you in compiling GL apps in Linux:
http://www.zeuscmd.com/tutorials/opengl/02-SettingUpYourEnvironment.php
DirectX http://msdn.microsoft.com/directx/
http://www.gotdotnet.com/team/directx/learn/
http://nexe.gamedev.net/directKnowledge/
http://www.pluralsight.com/wiki/default.aspx/Craig.DirectX.Direct3DTutorialIndex
http://www.alanphipps.com/VisualBasicdotNET-XNA.html
http://gpwiki.org/index.php/DirectX:Tutorials
To start off with DirectX programming, you'll need to download the DirectX SDK . Sorry, Windows-only. Then you'll need to configure your compiler. It's easiest to create DirectX applications with Visual Studio, so if you don't have that, I recommend downloading Visual Studio Express Edition . Here's a configuration guide for DirectX using Visual Studio:
http://cs.gmu.edu/~jchen/graphics/bookx/Notes/IntroDirectX.doc
It will be a lot harder using a compiler like Dev-C++ for DirectX development, although it's still possible (note that guide is a little outdated):
http://nexe.gamedev.net/directKnowledge/default.asp?p=DirectX%20Development%20Using%20DevCpp
Hope this helps