A few thoughts:
Shun Sharpening Service -- No Longer Free:
Alas, Kai (Shun) discontinued their free service last Spring. They use a commercial service, Perfect Edge, who sharpens for them at discount rates. The customer is looking at just under $1 an inch, with a minimum $5 charge per knife, with upcharges for serration, repairs, "single bevel" knives, and bears shipping costs. I believe the turnaround is in the neighborhood of two weeks.
Absorb as much as you can about sharpening, especially if its free... before starting out. Yes to Jon's sharpening videos. Yes also to Mark's sharpening videos at CKtG (Chef Knives to Go). Read Chad Ward's e-Gullet FAQ, and Mike Bottorf's as well. Mike's chapter 3 is where the rubber meets the road (TOC on the left side of the home page); read the whole thing, but don't pay too much attention to Mike's equipment suggestions. Chad's FAQ is gospel, pretty much.
There are a lot of sharpening styles which work. Choose one and stick with it until you start getting good results, you can always branch off and try new things later. You can spend a life time fooling around with this stuff and never get bored.
I favor what I call "the burr method," especially for beginners. It's the method described by Ward and Bottorf, although I do a few things differently. I also suggest that you use the Magic Marker Trick every time when you're starting out until you have a very good idea of how to see and feel what's going on at the edge without it.
Be patient with yourself. It takes a little while before you start getting consistently positive results, and somewhat longer before you start getting good.
For most people, sharpening most Japanese made, western style knives, the best grits to start with are something around 1K (according to the JIS, Japanese grit numbering system), and something around 3K - 5K. The idea is that you learn to develop some consistency with the 1K before moving up to the finer stone. Once you're getting consistently (there's that word again!) good results with the fine stone, you can round out your kit with a coarse stone for thinning, re-profiling and repair. Even if you buy all three stones immediately, hold off on using the coarse stone until you're a solid sharpener. Coarse stones cut fast which means they have consequences that can be hard to repair.
An Easier, More Expensive Way:
There are a few good "tool and jig" systems which have a much flatter learning curve than learning to sharpen freehand, and are just as good or better than freehanding for the majority of home sharpeners sharpening the majority of home kitchen knives. One is the Edge Pro system (Apex Kits 3, 4, or Chosera, or the "Pro" with the right combination of stones), the other the Wicked Edge. Easy to learn, but not cheap. You're looking at $300ish for a good EP setup; a little more for a WE.
Ask lots of questions. Here is as good a place as any for a beginner, with less background noise than the most popular knife specialty forums.
Hope this helps,
Edited by boar_d_laze - 1/15/12 at 6:32am