Most of you have probably read the great hacking books published by FoundStone. But, if you haven't, check them out. Anyway, I was on their website just now and noticed they have a ton of nice tools, and hacking webcasts. They've also got applications called Hackme's that simulate a banks, or eStore website, that have built in vulnerabilities that allow you to practice things such as SQL injection or CSS attacks. They are essentially hacking challenges.
Check out the website at foundstone.com