Thomas,
Welcome to stamp collecting, your area of interest overlaps with mine quite a bit. I'm mostly focused on Germany "and area", which encompasses Germany itself as well as territories, old German states, occupations, Danzig, Saar, etc. Europe from 1914-1949 is fascinating to me - not just war-related stuff, but maps being redrawn (and redrawn again), "dead countries" that spring into existence only to disappear after a couple years or decades, etc. I very recently started a sideline 1919-1939 dead country collection. This is something I'll just putter around with here or there while I'm working on other interests, but it could become more serious at some point. I'll email you about a couple dealers, but here's a good website with a lot of good info:
http://www.stamp-collecting-world.com/It's not focused on Germany or a particular era, but there are writeups about most of the countries of Europe from the 19th century to about the mid-20th. If you're just looking to basically get acquainted with the stamps of European nations of the classic era, it's great for that.
Here's a good resource for info on the many dead countries of that era (as well as other eras):
http://www.dcstamps.com/ .The owner of that site frequents this board, by the way. There are many other good sites as well and a google search will turn up quite a few.
Really, your best resource on the web is probably going to be this message board. Come here and ask a lot of questions. Myself and most others are more than happy to lend a helping hand to a newcomer. The amount of knowledge on this board is huge and the people are generally willing to share it.