There are a lot of resources on Lua, a google search will do you well. One of the recommended links is fairly hidden on the lua website as they wish you to buy the book, but an early draft of the "Programming In Lua" is available for free on the main website.
http://www.lua.org/pil/
However, as a personal preference, I'd highly recommend against Lua. While it's fairly often used, most people tend to use it in situations that don't call for it. If you are programming in an object oriented fashion for example, Lua is likely not the best choice. You can force OOP techniques, but they tend to be very clumsy and prone to breaking from release to release.
I would very much you take a look into the Squirrel Language (no joke). It's heavily based on lua (it's actually a fork of the lua project) but has many of the more "recreated" structures and techniques in the language itself, rather than tacked on via meta-table trickery. It has been used in a few commercial titles and a great many indy projects. It's as easy to embed in a C++ application as lua.
Just my two cents on the subject.
Come to think of it, I should write a .NET wrapper around the library...
-Piro
