Dave,
The 2500 series routers are excellent routers to acquire for your training lab. They are modular routers that come with serial ports and lan connection on board, as opposed to the newer model routers (ie.1600,1700,2600 etc) which require you to install WIC modules.
The 2509 in particular has the additional advantage of have 8 async serial port, which will come in handy later on when you want to setup reverse telnet ( a feature you will use when you acquire additional routers for your lab).
Start off by doing the basics.
1. Learn how to console into your router to gain local access.
2. Learn how the router boots into different modes by changing its config-register. You'll also do this as part of the password-recovery process.
3. Learn how to assign passwords, IP address to interfaces, setup local users.
4. Setup telnet access to the router via the ethernet.
5. Learn how to upgrade/replace flash via TFTP and xmodem.
Once you've learnt these basics, you should be able to "break" your router and reconfigure it from scratch. How?? Go to the cisco website and checkout the docos on the 2500 series. Everything from the hardware architecture to config samples are available.
Once you've got the basics then you're ready to move onto getting it to work as a router. Buy another router and learn how to communicate between the two via ethernet and serial interfaces (ie. simulate Frame Relay, a common WAN technology used in production networks). Then start on understanding routing such as static routes and dynamic routing protocols (ie.. OSPF, EIGRP, RIP, BGP).
A lot of people start learning about router want to jump straight into routing protocols without first understanding how to configure router basics and they get themselves into trouble early.
Hope this helps. JimmmyZ