I'd recommend ShaderFX, a node-based DX shader creator plugin for Max. Maybe not quite as powerful as writing it raw (or maybe even as the UE3 material editor) but it makes it very easy to throw together quick shaders and you can easily get a grasp of what can be done (and how it can be done) with shaders. It also has a…
CG Academy offers two DVDs on HLSL shader creation by Ben Cloward. HLSL Shader Creation 1: HLSL Fundamentals HLSL Shader Creation 2: Light & Shading Models Ben Cloward's web site is a great source of information too. nVidia shaders IDE: FX Composer ATI shaders IDE: RenderMonkey Toolsuite Lumonix node based shader editor…
I've been using Mental Mill so far. Node based shader authoring. http://www.mentalimages.com/products/mental-mill.html If you're a max user I think you can get your work into max with the free Artist Edition of the program.