If you want to test your regular expressions on the spot, use the online http://www.regexpal.com/.
Take your REGEX and copy it in the first box, take the logs you are trying to match and copy them in the second box... et voila!
There's not much better on the topic than the O'Reilly book -- http://oreilly.com/catalog/9780596528126/ ... but this is not a "crash course" by any means, it is a full length discussion in great detail.
Given Splunk uses PCRE (Perl Compatible Regular Expressions) I find the "pcrepattern" man page at http://linux.die.net/man/3/pcrepattern to be a useful reference to the advanced features of PCRE.
For people who like books, I suggest SAM's Teach Yourself Regular Expressions in 10 Minutes (Ben Forta)
It is reviewed on the regular-expressions info site http://www.regular-expressions.info/book10mins.html