Whether you are interested in birding, or just interested in getting to know your neighborhood species, a great resource is the Cornell Lab of Ornithology. They have one of the largest libraries of bird vocalizations in the world, and a youtube channel with tons of great footage. The following four clips are from their site, and offer the best introduction for what to look for when birding that I have run across yet on the internet.
But remember when birding (or just going on a neighborhood walk) that collecting nests, eggs, or other bird parts–even feathers, is prohibited by international treaty. Migratory birds are protected in a number of signatory countries under the Migratory Bird Treaty Act of 1918 (and yes, its been updated since). During the 18th and early 19th centuries a number of bird species were hunted almost to extinction entirely for the ladies hat trade, leading to the passage of this act (not to mention habitat fragmentation). Today, nearly all birds (excepting those that are entirely introduced–primairly the European Starling, the English/House Sparrow, and the Feral/Rock Pigeon, though the pigeon may have local or state protections the other two usually do not) are protected under this Act. To take any bird or bird part requires specific permits (such as hunting permits, falconry permits, wildlife rehabilitation–for live birds, and permits for educational use), though I doubt Fish and Wildlife are interested in the 6 or 60 year old that picks up the odd feathere here and there (this law is intended to prevent tradeing and collecting since theres no difference between a feather falling off the bird during preening and a bird that was plucked after being hunted.