What skills are you trying to improve? Figures? Armor? Dioramas/Basing? Aircraft? Mecha? General Wargaming? There's a lot of reference material available, so you'll probably get better answers if you can elaborate further.
Here are some good general options:
The Hot Lead DVD is pretty good, but is currently out of print. It's a good all-around introduction to mini painting.
Painting Buddha also offers a lot of general wargaming video tutorials. Some are free on
youtube, others you need to buy on their website. My only experience so far has been with the youtube videos, which are excellent.
If you're a treadhead,
IMO the gold standard in painting guides are
TankArt series by Michael Rinaldi. There are currently four books in the series (TankArt 4 pre-orders are shipping now) and another volume comes out every year or so. Here's some samples:
Rinaldi's work is one reason that I both question and wholly support the whole "Dakka is the best place to learn" sentiment. Dakka is one of the first wargaming sites I visited when starting into the hobby. There is no question that everything I've learned can be traced back to Dakka in one way or another. It is an invaluable resource for any wargamer. That said, if you rely solely on Dakka for feedback and advice, you are limiting yourself to the skills, tastes, and experiences of those who happen to post feedback on your models. In addition, you must learn everything by trial and error and will likely be completely unaware of techniques or materials that could greatly improve your work.