Do you have a specific project in mind or are you planning to just work up some swatches? A particular project will help you decide which to learn first.
There are some videos on this site: http://www.youtube.com/watch?v=P6n561SMZXQ
(scroll down) or you can search on youtube and finds tons of how-to videos.
I found stranding (fair isle) to be a little harder than Intarsia, but neither is particularly difficult.