In my view, the best way to learn about Programm security is to learn how Programms work.
I would suggest to learn the Assembler for your CPU first and the software interface Basics about your hardware.
So you basicly would be able to Play around with Firmware.
Then you could dig into the OS's programming Interfaces and try to reverse and edit Ring 3 applications with disassemblers and Debuggers (CrackMes are a good Training before you try to exploit functions). You could also do this step first, but since many Assembler books for X86 concentrate on 16bit realmode programming, this step mighte be a bit harder at first, if you own a X86 CPU.
After you got enough Knowledge on the Topics: Firmware and OS, you probably could start kernel Debugging.
There are many good exploitation tutorials on the web, at least for Windows.
But i think that taking a look at this would also help a lot to understand how to find and use security flaws, even if it is another Software platform.
!Take in mind, im only beginner Level in this stuff (and i hardly hv any Knowledge about BSD-OS's and BSD-OS's programming, so some suggestions might by far not be perfect!
+excuse my english skills
