The Sage documentation is accessible from the interactive shell and the notebook interface. Further help is available on the Web. The main Sage documentation page at http://www.sagemath.org/help.html provides links to dozens of resources. A few of these links are especially useful:
The official Sage tutorial can be found at http://www.sagemath.org/doc/tutorial/, and it is also accessible from the Help link in the notebook interface. The Python language tutorial at http://docs.python.org/tutorial/ will also be helpful.
The reference manual at http://www.sagemath.org/doc/reference/ provides the full API documentation, along with many examples.
Thematic tutorials at http://www.sagemath.org/doc/thematic_tutorials/index.html focus on specific topics.
The "Constructions" document at http://www.sagemath.org/doc/constructions/index.html describes how to do specific things with Sage.
Interactive resources, including mailing lists, an IRC channel, and a discussion forum are available...