There are many code samples in the wiki you could start off
here.
There are free IDE's available either use
Eclipse or
Netbeans.
SDK's you will have to download depending upon your phone model and whether it is Series 40 or S60. Look out
here
Books: well you could google around for J2ME books and find tons of them, personally I read "Beginning J2ME" by Jonathan Knudsen & Sing Li
Apart from that there is nothing better than hands on experience so just take a few examples and start programming, you will learn on the go!
Hope that gets you on track with J2ME.