I started with the Demura book. It's about $12. Excellent place to start - lots of drills, and he shows you how to use it, not how to just twirl it. Interestingly enough, when I actually started training with people from my school, I found that they mainly used it for show - choking up on the handle to make it swing faster.
My personal opinion is the nunchaku is a fun weapon to play with, but I would prefer to use my hands than use a nunchaku in an actual confrontation. I'd have a better chance of not hurting the other guy with my hands. Having said that, I've enjoyed learning to be showy with the nunchaku, but it's not my favorite weapon.