Building a simple transmitter and receiver is the quickest way to get started on your journey into the world of RF. It is also a lot of fun.
This tutorial provides an excellent introduction to building a simple digital communication system. Martyn Davies provides a good overview of modulation, RF circuits and programming with an Arduino. So when you follow his instructions you learn about both analog RF circuits and Arduino programming as well.
In this system, Martyn transmits and receives Amplitude-Shift Keying modulated signals at 433 MHz. This is an unlicensed frequency band in many countries. It is used for Ham radio, low power communication applications such as garage door openers and keyless entry systems.