Here is a couple of links:
Building an Extension - MDC Extension development - MozillaZine Knowledge Base
I'm also recommend reading this tutorial, although it is about XUL, not about extensions, but it cover many thing you will need when making your own extension:
XUL Tutorial - MDC
The three sites which were most useful to me while building my own extension:
Main Page - MDC XULPlanet.com Knowledge Base - MozillaZine Knowledge Base
The problem with tutorials for building extensions for Firefox is that they show how to build a simple "Hello world" extension, but to make it do something meaningful you need to know many things - XUL, JavaScript, sometimes XPCOM, XML, DOM, HTML, etc. And information is scattered through many places, so I often had to keep several pages open for reference while writing code.
Another potential issue is that Firefox is constantly developed, and documentation don't keep up with it, so you can happen to use outdated reference, or miss some feature that was implemented but wasn't documented.
I'm on the finishing phase of building the first version of my own first Firefox extension, so feel free to ask.