When I set up JMS on Weblogic 7 last year, I did so with only the BEA documentation -
http://edocs.bea.com . I've always been very impressed with their doco.
So, if you're free to choose the platform on which you learn about JMS, you could use Weblogic and go for their free doco. If you go down this route, I'd go for Weblogic 8.1 - it's less buggy than 7, and 9Beta is ...very beta.
Perhaps others can recommend a good book though
-Tim