If you want to try your hands on building ASP.NET 2.0 web parts, I have just written a detailed demo script about web parts, with starter files and all.
In the article I explain on how to use web parts, and how to build a site with them. Then I go on explaining how to build your own custom web parts.
I hope it will get you started building web parts!
Above links are broken (due to repaving the server), so please try here.