A good site I've found for learning hangeul and romanizing it (it helps to keep listening to actual Korean dialogue because you won't get so confused the next time you read hangeul and compare it with the romanizations): 

http://sori.org/hangul/conv2kr.cgi

Also for the alphabet itself and how to write it: 

http://www.youtube.com/watch?v=djB05a4ntQ4&feature=relmfu