Some great books mentioned so far.

I always recommend people learn anatomy. You can go a long way on sites like http://www.innerbody.com Not only does it help you provide better first aid, it's also important that you be able to communicate accurately with health care professionals when you finally make contact with them. You might find yourself someday on the radio asking for advice from a doctor and it's much better to say "My friend has a broken Ulna" instead of just saying "My friend has a broken arm". You'll save valuable minutes if you are more concise.

Furthering that theme, it's also advantageous to learn some basic anatomical location terminology. Words like anterior, posterior, distal, and even simple terms like left and right that are easily mixed up and can have adverse effects if you get it wrong. So, furthering our example above, you might say on the radio "My friend has a compound fracture of the ulna with bone visible at the anterior distal area of the forearm". You get the idea.

This also works the other way as well. It helps to understand these terms if you get advice from a doctor over a radio or cellphone. If a doctor tells you to apply a tourniquet on the proximal area around the humerus, would you know where he's talking about?

A good place to start learning anatomical location terminology is at http://en.wikipedia.org/wiki/Anatomical_terms_of_location

Another helpful learning tool is to have a subject to practice on. If you have a girlfriend or boyfriend it's nice to be able to probe and feel around their body to get to know how things are supposed to feel when all is normal and well. Your other half may not like you poking and probing all their rib bones, but you can learn a lot snooping around a healthy body with just your fingers.

Furthering the theme of practicing on a healthy person - it's good to have a grasp of what a normal person's vital signs are. You should have a fairly good grasp of what a normal temperature, normal respiration rate, normal perspiration rate, normal pulse rate, etc. Then when things go wrong you can begin to make better assumptions about their condition. Of course we all know what a person's temperature is, but do you know how a normal person's pupils react to light? Shining a flashlight quickly into one eye of a healthy patient will cause the pupil to rapidly contract. If one pupil is non reactive you might be looking at a brain injury. Again, knowing how a healthy patient responds will help you when you encounter a casualty.