Hello,
I had good luck with the book: '123 Robotics Experiments for the Evil Genius'
The title sounds kinda gimmicky, but the structure of the book is excellent. Every 'experiment' is laid out in a very consumable fashion that allows you to get the hands-on experimenting you were mentioning, without much risk of 'releasing the magic smoke.' Before each experiment is a parts list and a full explanation of why the circuit works.
Also don't let the title fool you, it has a lot more to do with electronics and circuitry than the mechanical aspects to robotics.
It covers things from as simple as why you need a resistor in series with a LED, up to power regulation and motor drivers, ect.
edit: ooh and it also covers creating your own augmented micro controllers for a better understanding of what the Arduino is really doing!
salernos