I found this book really great: http://www.amazon.com/Shaders-Programmers-Artists-Premier-Development/dp/1592000924 I don't know what's your skills and all but this book is great to start shader programming IMO. You have the officiel Nvida Cg tutorial: http://developer.nvidia.com/object/cg_tutorial_home.html And of course the GPU Gems and ShaderX series, although it's much more technical and don't really teach you how to "think" shaders (you're supposed to be already quite good to understand those books).
Well my main background is in programming (mainly PHP, C++, and C#). How well does Unity's shaderlab compare to rendermonkey, are they similar?
Well in the end you're always using the same language (Cg) which is the core of the shader. Rendermonkey or Unity just add some stuffs to bind certain properties (time, colors, etc.) from the engine to the shader but the shader code is always the same. So you'll have to adapt a couple of things, mainly what's not Cg code, but it shouldn't be difficult at all.