Try the previous thread, "Great Excel Info Site". Microsoft now has a better tutorial online, which is easily accessed if you have Excel 2003.
The lookup functions are "shorthand" for the Match and Offset functions. Without going into much detail, I must tell you from my experience that it is much better to understand Match and Offset first. You can do a array lookup by using Index and Match, instead of Lookup and Match. I have a couple of examples, or you can do a search in this forum for examples.
Keep in mind the default lookup match type is to pick the lower value in a row or column axis. The row and column axes, in that case, need to arranged in ascending order. For most of my work, exact matches are required, so I almost use the optional eact match option, which does not require that the values be aranged in any particular order.