VHDL BY EXAMPLE
Blaine C. Readler
I've had this book a few years and haven't really made an inroad into it. In hindsight I probably should have opted for Verilog not VHDL, but also the writing style is probably best suited to supporting a course rather than self-teaching.
Programming FPGAs: Getting Started with Verilog
This is the book that got me to "break my duck" and actually start coding. The book recommends that you use one of three development boards to run the exercises in the book, and I would strongly recommend this.
One recommendation I would make is to resist the temptation to just download the exercises from Github, generally you'll gain more from them if you type them in and run them.
Also once you do have an example running I suggest trying things. If you can count up try counting down etc.