I recently got the opportunity to demo this really great software for learning bird songs. It's called Larkwire. Currently it's available as a web app and also an iPhone app (looking forward to when it comes to the Android market). I tried out the web app and I like it a lot. What sets it apart from bird song tutorial CDs is that it's a trivia game. For competitive personality types like myself it motivates you to really pay attention and learn the different songs.
I played two games- the Clear-toned Songs and the Complex Bird Songs. It's nice because it plays more than just one variation of a bird song. That's what I dislike about bird song audio CDs- they only play just a short snippet of the bird's song and we all know that they make many different sounds.
Give it a whirl! I'll definitely come back for more. I like the challenge of the games and it's also making me a better birder at the same time.