The following book is an entertaining and comprehensive treatment by the inventors of awk. It provides a thorough description of the language and many examples, including a relational database and a recursive descent parser:
Aho, Alfred, Brian Kernighan, and Peter Weinberger. The AWK Programming Language. Reading, MA: Addison-Wesley, 1988.
This book is a good, thorough introduction to both awk and sed, with many examples and instructive longer programs:
Dougherty, Dale, and Arnold Robbins. sed & awk. 2nd ed. Sebastopol, CA: O’Reilly & Associates, 1997.
This book is another very good awk reference:
Robbins, Arnold. Effective awk Programming. 3rd ed. Sebastopol, CA: O’Reilly & Associates, 2001.
These two books are both very good introductions to understanding and using regular expressions, both for sed and awk and for other programs:
Forta, Ben. Sams Teach Yourself Regular Expression in 10 Minutes. 1st ed. Indianapolis, IN: Sams, 2004.
Friedl, Jeffrey E.F. Mastering Regular Expressions. 2nd ed. Sebastopol, CA: O’Reilly & Associates, 2002.
You can download gawk from the GNU site, which also has a great deal of documentation:
http://www.gnu.org/software/gawk/gawk.html
http://www.gnu.org/software/gawk/manual/gawk.html
Similarly, you can download sed or consult the sed manual:
http://www.gnu.org/software/sed/
http://www.gnu.org/software/sed/manual/sed.html
For a guide to frequently asked questions about awk and its relatives, see
http://www.faqs.org/faqs/computer-lang/awk/faq/index.html
The sed FAQ (which may also be helpful when working with awk regular expressions) can be found at
http://www.student.northpark.edu/pemente/sed/sedfaq.html
Resources for the book The AWK Programming Language can be found at
http://cm.bell-labs.com/cm/cs/awkbook/