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If you install the source for gawk, you can use the "make pdf" or "make ps" target to generate the book "GAWK: Effective Awk Programming". It is an excellent book (360 pages). Don't bother doing the same with awk. It's documentation isn't nearly as good and the examples are arcane.
If you've never compiled a package before you may have to install the gcc compiler and other dependencies.
If you have, the simply entering "./configure && make pdf" will generate the book.
I would go for jschiwal's suggestion. Also beware: there are many 'sed' and 'awk' "books" on the market which are simply dead tree versions of the man pages and in my opinion they are inferior to the man pages because they can't be electronically searched - the "books" are even too small to use as a doorstop.
Aside from just reading through the man pages and any examples which may be stored in /usr/share/doc/whatever, you may also find numerous examples and tutorials on the internet.
If you install Cygwin/X, you will not only be able to install sed, awk, perl, ruby, etal. But you will be able to ssh -X into your Linux box and run graphical programs remotely. It includes an X server for windows as well as a full console installation.
Distribution: Mac OS 10.7 / CentOS 6(servers) / xubuntu 13.04
If you are interested in Shell Scripting than get Ellie Quigley's Unix Shells By Example. I first got the second edition as a gift from a programmer instructor my first semester in the UNIX program at Texas State Technical College and then later I bought the third edition when I took a shell scripting class. Details practical use of gawk and awk plus a whole lot of other information useful for you.