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this seems to be the way maziart. I've been going through the help for just about a week or so and it's not only teaching max, but programming and related design ideas. Do it! Supplement with videos and tuts
Yes, the built in tutorials and help files (option-clicking on any object will bring up a help file, which is actually just a max patch, with examples on how to use the object) are wonderful. I find I prefer text-based, or image based, tutorials to video ones - you can move at your own pace, and skip over boring introductory statements. :P
Max tutorials are even better, since they're all fully interactive patches as well.