Second Life has several sims dedicated to teaching avatars how to build in world.
Learning to build at the Ivory Tower of Prim
Learning to build at the Ivory Tower of Prim

My favorite so far is the Ivory Tower Library of Prim, where you start with the basics of creating objects and move up into sculpties, creating textures, and particles. Each step has a separate notecard tutorial (available in multiple languages!), you can build as you learn, and the hugest sandbox in Second Life is right outside the tower where you can build as big as you want to try out what you have learned.

Ivory Tower Library of Prim

After you have mastered basic building (and the Ivory Tower really moves far beyond basics!), you can move on to textures, particles, and scripts.

Textures Tutorial:

The Particle Laboratory:

College of Scripting, Music and Science: