My initiation to fly fishing was a two day Orvis class in CO. it was worth it, second day was on the water, pretty much covered everything front casting retrieval, presentation, choice of flies, hatch knowledge. And at the end of the class, you got a substantial discount on Orvis products.
Sage does, or used to do clinics in different venue's. In terms of learning to tie flies, Sporting goods stores, usually run clinics during the off season.
There's numerous books, dvd's, and videos on aspects of flying fishing, but hands on is the best way to gain a solid foundation.