MJ Harnish over at Gaming Brouhaha has put together a great collection of resources on the Burning Wheel for new players and the curious.[1. And I'm not just saying that because he linked to The Seven-Sided Die, either.] I found the link to the discussion of BW's skill list particularly useful—BW has a huge number of skills, about 180 by one person's count, and this is somewhat unusual and hard to comprehend for most gamers, myself included. That link helped put it in perspective and confirmed some of my own thoughts on it.
I'm still reading through the links, but they're an excellent selection. For an indie system there is a lot of material online for and about the Burning Wheel, so finding the really useful discussion and advice is actually non-trivial. MJ has pulled together some really great pieces.