This is a comment by Shane Wilton in this post from HH Information Security.
Start with MicroCorruption to familiarize yourself with reverse engineering and exploit development. It's ~18 challenges, entirely on the website, that task you with reverse engineering MSP-430 programs, and developing exploits against them.
From there, Pwnable.kr has another few dozen exploitation challenges. These are more real-world, but ramp up in difficulty quickly. The first block should be doable by anyone with Linux experience though.
If you're starting from the very beginning, keep Hacking: The Art of Exploitation nearby. It's a very good primer for all of this stuff. Once you work your way through that, [TAOCP](http://www.amazon.com/T