This site probably isn't going to win any site design awards, but it walks you through step by step. I honestly learned the whole alphabet in an afternoon, and haven't forgotten it since.
It's very hard to learn the alphabet with a book, since it's not very interactive, and many language learning software, like Rosetta Stone, don't even bother trying to teach the alphabet. Which is a shame, really, because it is very simple.
Once you get through learning the alphabet, I would suggest investing in some other way of learning the language. The first investment I made was to buy the book: Teach Yourself Korean. Here's the amazon listing, but you can get this book anywhere, I bought it at Borders.
This book is really good, because it walks you through the basics. I think that it does a very good job of explaining the grammar, which can be very complicated at times. It's nothing like English, thats for sure. Granted I've only been able to get myself through the first 4 chapters. The first three are easy, and you learn quickly, but then they start loading on the vocabulary. I keep trying to go back, but I just can't get through that chapter. But the first three chapters are excellent. They teach you how to order in restaurants, call on the telephone, get directions on the bus, plus lots of cultural and grammatical info too.
Once I started getting stuck in the book, I moved on to various lessons online. I have a few sites I've used, but I'm having trouble finding them again. But if you google Korean Lessons or something similar, you'll get hundreds of sites.
For Christmas this year, I got Rosetta Stone software for my computer. Rosetta Stone has it's ups and downs. One down is certainly the price. It's not cheap. Luckily, I got it as a gift, I definitely would not have shelled out so much of my own money... but then again, I am very cheap. But, now that I have it, here are some good and bad things about Rosetta Stone in my opinion
Start with the basics
Includes headset to practice intonation and pronunciation
Price (about $200 USD for level 1)
Does not teach Korean alphabet
No translations (have a dictionary handy when you can't figure out what the picture is referring to... but of course, using a Korean/English dictionary is no walk in the park either)
Impractical vocabulary for someone trying to learn everyday, useful phrases
I have yet to decide if Rosetta Stone is worth it, but it is definitely an option for learning Korean, but it's not for everyone.
Once I get to Korea, I plan on taking a formal Korean class. From what I've heard, there are many options available, many free classes or inexpensive classes. University classes are also available to take, if you have the time. I'll see what I have time/money for once I get there.