Which DW/BI technology is best?Oracle or MSSQL?
Where should I start?
Which documentation/Tutorial/Book/Site/Video would you recommend?
The jury is still out on the absolute "best" technology ... but Oracle+Informatica has a bigger market share than MSSQL - that's probably a good indicator.

A good place to start would be to master the basic concepts of DW. Do that, and it's more than half the job already done.
Personal suggestion - MSSQL BI products come with a very good sample DW implementation called "
Adventure Works" - even if you're not focusing on MSSQL, that is a good place to learn the abstract DW basic concepts and their practical implementations.
p.s. - Oracle might have something similar to Adventure Works, but I'm not really an Oracle person.