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TryCF.com is an online, interactive ColdFusion tutorial. You can actually write ColdFusion code in the browser and see the results immediately. Even better, he built in some kick ass validation and error handling. Check out this mistake I made on purpose. Honest.
There are currently 5 tutorials available but you can help contribute more and possibly win 300 bucks!.
I'll also point out CF Live which lets you run ad hoc ColdFusion code as well.