The most important thing I can recommend while starting out is to focus your ear training on hearing scale degrees (e.g., if I play a C major chord and then play a random note from the C major scale, you should be able to identify which note that is out of C, D, E, F, G, A or B). A lot of naive ear training resources recommend learning to hear intervals (e.g. a perfect 5th, which is the interval between C and G or E and B), but intervals only really have meaning in the context of a key, and so understanding them in that context is much more important. A good app for training with this on iOS is Politonus: it'll play a few chords to establish a key, and then it'll play a random note from the key and prompt you to guess which one it was. As you improve with this, you can have it play multiple notes at a time, or even notes outside of the key.
Re: Ask HN: How Can I Learn Music Theory?
#211I have a music degree but have also engaged in a lot of self-study, so hopefully I can still make good recommendations for someone interested in learning on their own. The general approach I'd recommend is trampolining between on-paper theory and ear training, with the specific goal at each stage being the ability to identify by listening the structures that you're learning about on paper. The text I'd recommend is Aldwell's Harmony and Voice Leading, which is very focussed on the techniques of classical Western concert music but is still, along with its exercises, the best bet I can think of for building a solid foundation of knowledge that you can bring to other musical styles.