You can start how ever you want.
I did it my way… well i just used youtube + google to search for what i wanted to build.
but i came from a programming language so python was very easy to pickup.
So the question is what do you want to learn?
make a game (with/)or scripting or both? I recommend both.
atleast cgcookie has a lot of free/paid courses for blender: https://cgcookie.com/course/blender-basics/
good place to start out.
Anyway start small, don’t think that you can put out a 3d mmorpg because you simply can’t… no you can’t.
That is something for a later stage, start with something like an arcade game, think about a small board game, astroids, tetris, jenga, or anything that uses a few basic systems to start with.
If you can make a small game like that (with your eyes closed and 2 fingers up the nose) then go build harder games, step into the world of character movement/mechanics, and expand on that. (you can also start out with it, if you already know what you like/want to build).
But learn (bge)python as well, you gonna need it.