I needed something to read on a plane trip this last weekend, and a quick stop at Ham Radio Outlet had me leaving with a copy of Hands-On Radio Experiments by Ward Silver, N0AX. Ward writes the "Hands-On" column each month in QST, and this book is nothing more than five years of his columns collected in one slim volume. If you have been an ARRL member and received QST for the last five years, you won't find anything new, but if you haven't (as I haven't) you'll find a bunch of neat articles, each one of which explains a short, concise bit of radio theory, accompanies by an experiment that you could run with a bare minimum of expense. I am looking forward to doing some of their oscillator and amplifier experiments. I recommend the book for someone who likes to learn things through experimentation.
Addendum: Some of the experiments do require equipment which the absolute beginner might not have (like an oscilloscope, which I still lack), but the majority can probably be done with a decent voltmeter.