Even though I have no need for a CMOY I'm going to start my foray into DIY audio with it. It's simplicity, low cost and the fact it runs on battery (AC line voltage is DANGEROUS!) make it an ideal introduction in my eyes. Also, Tangent has put together a fantastic site with loads of general DIY audio information and a great CMOY build guide. From reading through his site and reading past CMOY related threads on head-fi, I've learnt a lot (i.e. options around the difference capacitances to use and why film caps are better than electrolytics in the signal path, DC offset, how OPAMPS work, etc.)
Admittedly not having a labeled PCB and having to order all your own parts does make the CMOY trickier in one sense when compared to other projects, but it's overall simplicity doesn't make this too much of an issue I think. I was able to order nearly every part required from one supplier (Mouser), and again, having to order your own parts is an educational activity.
I guess not everyone wants to know the gritty detail, but it gives you a level of understanding that helps you make better decisions (and it's important to make the right decisions when dealing with high voltages!) and troubleshoot when things go wrong. I've also been reading through Practical Electronics For Inventors. While it's a bit heavy on the maths (I'm not very good at maths!), it contains a wealth of information and goes into a level of detail not many beginners electronics books appear to do. I've also been building a few Velleman projects to strengthen my soldering skills.
Although I'm VERY new to electronics/DIY audio, it's apparent that it's a massive subject and from what I've read it appears that it pays to invest time and effort in understanding the basics.
Once I've built the CMOY I'm going to move onto a more sophisticated portable headphone amp (i.e. Tangent's PIMETA or AMB's Mini3). This should help build me up to my ultimate goal of building an M3 this year (initially with an off the shelf PSU, then I want to build a Sigma 11). After that, who knows? A B22? A tube amp? A DAC?