Links to more Illustrator tutorials than you can shake a pen tool at

http://veerle.duoh.com/

Links to some step-by-step web pages (some good, some not so good):
http://www.google.com/search?q=illustrator+tutorial+pen+tool&ie=utf-8&oe=utf-8&aq=t&rls=org.mozilla:en-US:official&client=firefox-a

http://www.delicious.com/HMHarvey1/bundle:Tutorials

Or watch videos on YouTube:
http://www.youtube.com/results?search_query=adobe+illustrator+cs3+tutorial+pen+tool&aq=f