I recently tried to get my hands dirty with Facebook application development platform. I know there are a bunch of resources available on the web to help you in the process, but when I was trying get my tiny app to work, I realized there were a few things which aren't explained too well on http://developer.facebook.com/. I am writing down the step-by-step guide that you can use to create your first Facebook application and join the club!
Coding Library: PHP
More Facebook Platform Resources: