The Scala REPL (Read-eval-print loop), is probably the best way to learn Scala. It compiles the code you right on the fly and in Scala 2.8 there is even some limited code completion features. (More to come in the future I believe).
I recommend the REPL for quickly testing out new ideas and learning what works and what doesn't. All the examples in this blog will be created with the REPL and designed to be replayed in the REPL (unless I say otherwise).