You can learn a lot about how to play from the official wiki. Here are two of the most helpful links in particular:

http://wiki.openttd.org/Hotkeys
http://wiki.openttd.org/Hidden_features

And here are some essential hotkeys:
-A for Autorail tool
-S for railroad signal tool
-D for demolition tool
-R for remove tool (selectively removes certain things when you have their tools on [like just signals, instead of entire track])
-T for tunnel
-B for bridge
-Esc key exits out of any tool you're currently using

Ctrl-clicking is the real secret to becoming a transportation master. Try it on everything!

One extremely useful trick for managing large networks is sharing orders among vehicles. Ctrl-click a vehicle when selecting order locations or when cloning to share orders among them. This allows you to change/update orders for a whole bunch of vehicles at once.