Learn Cocoa on the Mac

The Cocoa frameworks are some of the most powerful for creating native OS X apps available today. However, for a first-time Mac developer, just firing up Xcode 4 and starting to browse the documentation can be a daunting and frustrating task. The Objective-C class reference documentation alone would fill thousands of printed pages, not to mention all the other tutorials and guides included with Xcode. Where do you start? Which classes are you going to need to use? How do you use Xcode and the rest of the tools?