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Agreed. SpyFu Kombat and Classic can give you a huge amount of data to start off with.

Check out SpyFu. It is bar none the best search ad research tool I use. Beyond that though, performing your own searches, actually going to your competitor's landing pages, and so on can give you a wealth of knowledge about the user experience that tools will not give you. As far as learning goes, Advanced Google AdWords (which was already mentioned) and the old, but still relevant, Search Engine Marketing would be where I would start.