The Managed DirectX documentation is horrible to nonexistent (i e, they pre-processed the header files into something that's clickable, but tells you nothing more than the header files would...)
The C++ DirectX documentation is very good. For example, if pixel shaders are giving you trouble, I'd start looking at:
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/dndrive/html/directx05222002.asp
But there's so much that building an autoritative link list would take a long time...
Also, the D3D FX stuff makes it very simple to load and apply various shaders. There are several examples in the DirectX 9.0 Summer Update SDK, too, although, alas, some of the best ones are C++ only and not ported (you can still read them for information).
Regarding approaches to higher-level constructs, such as scene graphs, etc, then I suggest getting a book. That's all general-purpose programming stuff which really shouldn't be addressed by a low-level device access API. Although Microsoft is trying to build a little bit on top of that with the separate Direct3DX stuff, just for good measure.