Nice hacking lessons

The site security overrides is a good place to start learning about security exploits. the best part is it explains the exploits and gives you an arena to practice your skills as well  :)
Check this out:
http://securityoverride.net/challenges/index.php

Here is another one for practicing your SQL injection skills:
http://progzoo.net/hack/
http://sqlzoo.net/hack/12access.htm