I started brewing all grain from day one except one extract brew in 1987. It was horrible tasting at best. When I decided to try my hand at brewing again (years later) I was convinced that all grain was the only way to start. I read relentlessly on the subject until I felt I had a better than basic understanding of what all grain brewing would be. So starting with 2 10 gallon coolers, a converted keggle, propane turkey fryer, carbon water filter, various items such as thermometers, hydrometer, strainers, hoses, ball valves etc etc etc.
When starting out, How to Brew (4e) chapter 1 is an good starting point for brewing. It's stove top, it's extract, it's a good starting point.
With BIAB, earlier in this topic, there was a mention of the book Speed Brewing for those willing to brew small batches (2 gal into 1.75 gal kegs).
Is there a similar (detailed) resource for those who want to brew 5 gallon all-grain batches on the first attempt?
I believe the first book I read was Charlie Papazians' Joy of Homebrewing. As you mentioned, Palmers' How to brew helped me tremendously. What also helped me learn to all grain brew was to read about each individual ingredient, water, hops, yeast and grain. Also, I did a lot of clone brews over and over to learn the process of that particular beer style. After a few years I started to experiment with my own recipes staying within the guidelines of any particular beer style. The last and to me the most difficult aspect of all grain brewing is water chemistry but once you get an understanding it will improve your beer exponentially. You may want to download Bru'n water or Beersmith. Both are valuable resources.