There are a couple of thinks to keep in mind if you are starting with OSGi.
As mentioned elsewhere in this thread, knowing about classloading is really important. In my experience everybody sooner or later runs into problems with it.
Another important thing to remember is: never hold references! Have a look at the whiteboard pattern on which the services concept of OSGi is build (see the link in one of the other answers).
In my experience you should not try to convert a monolitic application into an OSGi-based one. This usually leads to a badly and unmanageable mess. Start anew.
Download one of the freely available stand-alone OSGi implementations. I found Knopflerfish rather good and stable (I use it in many projects). It also comes with lots of source code. You can find it here: http://www.knopflerfish.org
Another good tutorial can be found here. https://pro40.abac.com/deanhiller/cgi-bin/moin.cgi/OsgiTutorial
Peter Kriens of the OSGi Alliance gave a nice interview: http://www.infoq.com/interviews/osgi-peter-kriens. His homepage and blog (which is always a good read can be found here: http://www.aqute.biz