What works for me best when learning is to get a small project and start coding. Sometimes I like to start from a small existing project and play around it, change some things. It is good for me to learn grammar, see what already exists in the language libraries.
I like Scala Koans for its coverage of all topics and similarity to other language approaches – there are koans for other languages too! The setup is really straightforward and quickly you can start going through the language features. I would be very interested in hearing from people who never programmed if approach like Scala Koans gives enough introduction to programming.
For sure it is a good exercise for people who already programmed and would like to get familiar with a new syntax and concepts.
You can find Scala Koans at http://www.scalakoans.org/