First up, a list of interesting links to guide the efforts of the aspiring Cocos2D programmer.
For starters, here is monoclestudios. This company decided to give a little bit back to cocos2D, as a thanks for using it for one of their games writing a walk trough that explains how to get a Cocos2D project working.
Once you've got that over with, you still need some preparation before heading on the path to adding cocos2D to your basic arsenal. The class hierarchy of the documentation must be read carefully to get a general idea of the engine works. Making your synapses comprehend the connections between the different classes will give you a good foothold.
With that bit of theory as reference, you can now enjoy the wonderful article written by Will Larson, showing the idea of how to work with the basic pillars of Cocos2D. After that one, you should have enough idea of the engine to draft a basic game architecture.
What our life needs right now, apart of a nice cup of coffee, is a step-by-step, code spiced, dummy game, to show how everything actually works, and to provide some working code for us to play with. Start reading those articles from the bottom, you won't be disappointed. Of special interest, I would point out the detection of user input, physics with chipmunk and a custom made particle effect in that series of tutorials.
That's about it! With that nice collection you can get well on your way with your iPhone game coding skills.
Code hard and have fun!