If you're looking for a gentle entry path to game development and don't mind learning C#, XNA has an entire community built around learning how to write games. It has samples of all sorts of things -- the Game State Management sample shows a good way to implement screen transitions and loading, and there's a similar Network Game State Management sample for networking stuff. They also have entire games available as source code to download.
Whether or not your long-term goals are to make a Java applet, Flash game, or you want to work in C/C++ with OpenGL, XNA is a great way to ignore all the hairy implementation details of rendering/sound/etc. That's very very helpful when you're just trying to make your first game, believe me.
