To get a "feel" from the subject from the authority who writes best about it, read Bruce Schneier's monthly Crypto-Gram Newsletter. All the back issues are there; Schneier writes clearly and lucidly on the crypto and security issues of the day. Some more Schneier essays are on the Counterpane Labs home page.
Certainly the best online guide to the math and algorithms will be the Handbook of Applied Cryptography (HAC), by Alfred J. Menezes, Paul C. van Oorschot and Scott A. Vanstone. Note that this is a different book from Bruce Schneier's "Applied Cryptography".
The main source from which I learned everything I knew is the 4 inch thich folder I have of papers printed out from the Web. These days nearly all academic papers about crypto end up on a Web page somewhere, and you can find them with a combination of CiteSeer (aka ResearchIndex), Google (as if you didn't know), and Schneier's index of crypto papers online. For the few that you can't find, you can usually mail the authors and ask them for a copy, though I've only resorted to this once. HAC doesn't go terrifically deep, but it's enough that you can start on a paper you're interested in. If the paper references something you've never heard of, look it up! It's fun and you can get a feel pretty fast.
Eventually you will need to buy the occasional book. However, it isn't very many. Until very recently, the only actual book I owned about cryptography was Schneier's "Applied Cryptography" - this may well be the only book you need.
OK, I'm biased, but I think crypto is one of the most fun subjects it's possible to learn about. The math is hard, but I don't think there's a better way to learn about maths - avoid all those icky real numbers and stick to nice, discrete stuff!
Paul Crowley aka ciphergoth. Crypto and sex politics. Diary.