you will also notice that depending what the device is, and who the manufacturer is, determines a lot of what information is included in a data sheet, and how it's presented (and there are parameters that are named one thing in one data sheet, and has a different name in another)
but i would definitely do what others have said here.... try building a few simple things and learn how they work, and this will (along with learning some basic theory) begin to help you understand data sheets, and why some things are more important than others in a data sheet. also, you can get a SPICE program and use it to see what certain devices do in a circuit. i recommend you get a basic electronics textbook and start at the beginning. learning how electricity behaves, and what simple components do will give you some insight into how things work. another good place to look is in publications like the ARRL Radio Amateur's Handbook, which contains basic theory as well as simple, intermediate and advanced projects. when i was young, my grandfather gave me his collection of several year's worth of these (1955-1964). the chapters on theory didn't change much (except for the addition of transistor theory), but most of the projects were different from year to year.