I guess this really depends on what interests you personally, and what you would like to do with your skills. I don't think there is necessarily a "right" way to go about it, though I wouldn't tackle any of the more advanced topics without a solid understanding of HTML and CSS. I'd probably suggest you understand how to hand code HTML and CSS without the help of a Dreamweaver or another what-you-see-is-what-you-get program that does the coding for you. Also, make sure you understand how to do CSS based layouts, rather than table based layouts.

After that point, you're sorta on your own. Here are a couple options:
-- Improve your Photoshop skills, so you can create graphics for your designs
-- Improve your general design skills, so you can create high quality design work (kinda goes hand-in-hand with improving your Photoshop skills)
-- learn Javascript/Jquery
-- learn (more?) PHP
-- learn a content management system of some sort (Wordpress, etc)

Of that list, it really depends on what you enjoy more. In my case, I really enjoy the design side of things, so I originally started out learning Photoshop/design, then HTML/CSS and then on to PHP and jquery. PHP is a good skill to have -- If you work with a PHP based content management system (like Wordpress or similar) it really helps, and of course PHP can do contact forms and other more advanced functionality that neither HTML nor Javascript can do.

Of that list, I'd probably suggest you learn more PHP, and then maybe turn to javascript/jquery or a CMS system once you have a pretty solid understanding of that.

As for tutorial sites...
Killersites.com, obviously
http://css-tricks.com/video-screencasts/
http://www.phpvideotutorials.com
http://net.tutsplus.com/
http://psd.tutsplus.com/

Working with Wordpress is less about understanding the code it uses to generate the pages, and more about learning the templating system and how to theme it. That's probably where I would suggest starting first. However, it is possible to create plugins that will extend Wordpress, and there is a large Wordpress community if you need help. As far as the "does Wordpress use OOP", I'm not sure off the top of my head. I believe so, but I'd have to look into the code.

I'd probably suggest starting with http://psd.tutsplus.com/, but there are a LOT of tutorial sites out there. If you want an in depth course, you might consider signing up with Lynda.com and working through one of their comprehensive photoshop courses, or taking a class at your local community college. I've found my best learning comes through experimentation, rather than following a set course though.