Another bonus is that openAL has a very similar api to openGL. If you understand the openGL api, openAL is a breeze.
That said, there are plenty of reasons to use directx. Most of them are in regards to platform specific choices and support levels. Sure the idea of a completely cross platform api is grand, but in reality it falls quite short due to vendor support.
There are a lot of good books, if you search amazon there tons.
Heres a couple for you. I'd stick to just trying to master either scripting or 3d modeling and art. They both take a lot of effort, so beginning both at the same time could distract you from doing your best. After you got one under your belt then consider branching out into other fields.