On the web, start with Hopeforlorn.net. That is my extensive site and even though it will be coming down in November (due to many issues) it is in the process of moving to insanejournal at hopeforlorn. There are also links to a great deal many other really good and detailed sites there.
I would start with character info and then if you are so inclined have a look at Assassin and White Shaman Manga (translated and scanlated on the site). You could puruse the Drama CDs but many fans find them altogether a bit screwed up and wtf-ish.
Watch Weiss Kreuz Kapitel (Knight Hunters), which I think you can rent through Netflix or some other such service and then Gluhen (Knight Hunters Eternity). After that, I would get my hands on the Verbrechen Strafe OVA, which I think you can still get via bitTorrent or other download, then if you are so inclined, move on to Weiss Side B.
Many fans end up with looking over the character information and summary of the anime first, then hitting fan fiction. That tells you enough about the fanon (mixed with canon) aspects that you should be okay with everything.
One word of warning on the anime...the art is less than stellar, there are plot holes everywhere - but it makes for some great fan fiction and entertainment in general. Gluhen is by far the better anime as far as artistic content, closely followed by Verbrechen Strafe in my opinion.
Good luck! Any questions, just ask. I will gladly be here to help. It is my fandom baby, I guess. ^_~