Somebody asked on Mi Yodeya: what are the first steps for someone considering sincere conversion to Judaism? I answered:
The conversion process is involved and long. You will go through the following steps, possibly more than once:
Investigation and exploration: beginning to figure out what is attracting you, what alternatives there are (e.g. does being a Noachide meet your needs?), and what the impact would be. You might begin to attend services at synagogues (possibly several synagogues while you figure out where you're most comfortable).
Meeting with one or more rabbis, ending with you finding the one who will be your rabbi. They will ask you questions; you should ask questions too. You are looking for a good match, not the objectively-best rabbi (as if there were such a thing).
Formal study and beginning to observe mitzvot, under the guidance of your rabbi. Formal study should definitely include one-on-one study with your rabbi. It is not unusual for it to also include a course to teach the basics in a group setting. From what I've seen nobody's making money off those courses; often you just pay for the books. But you don't need one-on-one time with your rabbi to learn the basics of brachot, kashrut, Shabbat, the prayer service, and so on; a classroom is more efficient, saving the rabbinic time for the personal and advanced topics.
Addressing barriers to conversion as you are ready. This could include everything from family relations (how you will deal with evangelical parents, for instance) to altering your work arrangements (do you work on Saturdays?) to replacing kitchenware to, possibly, moving. That's just a sample, not meant to intimidate but just to inform.
When you and your rabbi agree that you're ready, going before the beit din (court) for acceptance, going to the mikvah, and (for men) handling circumcision or its replacement.
You should not be surprised if the whole process takes a few years. Rabbis absolutely want to welcome converts but must do their best to make sure it'll "stick"; the cost of someone not converting is not nearly as great as the cost of somebody converting and later changing his mind. The first is a lost (or delayed) opportunity; the second creates a sinning Jew.
Some books you might find helpful to read earlier rather than later in the process are:
Conversion to Judaism: A Guidebook by Lawrence J. Epstein (not a rabbi). This book provides a good, accessible description of the process, key ideas of Judaism, family implications, and more. It also explains some about the various Jewish movements, which you'll need to be aware of, and includes helpful resources like a bibliography, glossary, list of common acronyms, and so on. This book is largely overview and nuts-and-bolts stuff.
Pathways: Jews Who Return by Richard H. Greenberg (also not a rabbi). This book is not about conversion; it's about baalei t'shuvah, Jews who returned to observance. Sincere converts and BTs have a lot in common both spiritually and with respect to the practical stuff. This book is a collection of essays written by BTs telling their stories.
Teshuvah: A Guide for the Newly Observant Jew by Rabbi Adin Steinsaltz. This book, too, is aimed at BTs, but it is chock-full of useful advice about making the transition.
I've left out of this list many excellent books on specific ideas within Judaism -- God, mitzvot, Shabbat, and so on. Those are important too, but "everything you need to know about Judaism" is way too big a topic for this answer. :-)
Of course, you should also start becoming familiar with our core texts -- the Tanakh (Hebrew Bible) for starters. We read the torah in weekly portions, a few chapters a week. I recommend that you start reading the weekly cycle and following along with commentaries (e.g. at Aish HaTorah, mentioned by H' Gabriel). As soon as you can, get yourself a good chumash, which is Hebrew-English edition of the torah broken up into the weekly portions and with commentaries (verse by verse). Commentaries you want to look for include Rashi (usually marked "R"), Rambam ("M"), Ramban ("N"), Ibn Ezra, Sforno ("S"). What do I mean by "a good chumash" -- aren't they all the same? The torah text is the same; what's different is which traditional sources the editors draw on and how much of their own interpretation they add. For your first one (ultimately you'll likely own several) you want to cover the basics and minimize the modern commentary, so you start to get a grounding in the tradition. Stone is one good name here; another is edited by A. Cohen; another, if you don't mind a somewhat archaic English translation, is Hertz. Once you have a rabbi you should get the chumash he recommends.
Finally, as soon as you can, get involved with the community. Go to services; you'll stumble over the Hebrew for a while but it's important to go and start learning to pray, with other people and not just by yourself. Once you have a rabbi you should get involved with his -- and now your -- congregation; in addition to services there will be adult-ed classes, mitzvah projects, social gatherings, and so on. Judaism is meant to be engaged with in community, not in isolation.