What sort of DSP are you interested in? filtering, audio effects or signal processing?
If you are interested in Audio effects then have a look at secotion 3.3.6 of
http://www.digilentinc.com/events/Common/Report%20Sample%20~%20DigitalSynth%20Report.pdf to get some ideas.
However, if you are a newbie at DSP, if you only read one book on DSP make it "The Scientist and Engineers guide to Digital Signal Processing". A large part of it is available at no cost on the web at
http://www.dspguide.com/pdfbook.htmI never understood how the Discrete Fourier Transform actually worked until I read this book.
All the examples in the book are in BASIC (yes! BASIC) so how hard can that be to implement in an FPGA?

You can find a FIR filter implemented in VHDL at
http://hamsterworks.co.nz/mediawiki/index.php/FIR_Filter if you want a canned base to work from.
But actually implementing the filter isn't the question - it is understanding how it works its magic is far more interesting than building one.
It is a bit like wiring an OpAmp, a few Caps and a few resistors and building a filter. The interesting stuff is in how it works!