This tutorial is a work in progress
The simplest way to access the web of data is to query one of the SPARQL end points listed here, which include huge collections of track, album and artist metadata, geographical information, encyclopedia entries, etc. etc.
Each end point aggregates related data that has been published across the web. It can be queried using SPARQL, a simple variant of SQL for use with RDF data. Tutorials for SPARQL include www.xml.com/pub/a/2005/11/16/introducing-sparql-querying-semantic-web-tutorial.html.
Kurt wrote a short SPARQL tutorial on his blog.
If no existing end point aggregates suitable data to meet your needs, you can create your own using the Semantic Web Client library.