Stokes Field Guide to Bird Songs. There is an eastern and western edition. I have the western edition with 4 CDs with nearly 100 songs per CD. It comes with a small guide to help you find the track for any bird. I use mine constantly. It doesn't really teach you about songs or how to learn songs, but it's the most complete guide of recorded bird vocalizations that I've ever found. If a bird has several vocalizations, the guide tries to cover them all, or at least most of them (other than chip-calls).
The one improvement I wish they'd make is to categorize songs by type in the guide (trills vs. whistles, etc), but I copied all 4 CDs to my laptop and I'm in the process of tagging them that way for easy reference when I hear a bird that I'm clueless about.
I used to have a field guide on cassette tape, Peterson's or Audubon's, if I remember right, and it taught the types of calls and how to describe them, which was very helpful in learning, but not very helpful in the field.