I've written three to date, and am currently reworking the third. Many sources have said your first eight or nine scripts will probably be crap, but you have to get through them before you get your rhythm, start writing decent dialogue, etc.
Looking back, the first was absolutely horrible, the second okay but not that great. Pretty happy with this third. Entered it twice into the Virginia Governor's Screenwriting Competition. Not a big comp, but statewide and thru the gov's office, so if it wins at some point I might actually be able to get someone to represent it. Good feedback both times I entered, and I'm nearly done with the suggestions from the second time around.
One suggestion I have for those who want to write screenplays, is to not write a big Indy-style blockbuster. Quite simply, no one's going to back an unknown writer for a $100 million epic stunt spectacular.
Write a simple, but compelling story, with good dialogue and interesting characters. A movie that could be made on the cheap.
There are also markets like Hallmark movies, movies of the week, etc. Super cheap, two or three sets max, small handful of characters, and generally simple (sometimes cheesy) stories. They make a zillion of those compared to the couple of dozen big movies that come out each year.
Hey, let's all throw in some of our favorite writing books.
My personal favorite is Vogler's The Writer's Journey. It's a readable take on Campbell's Hero with a Thousand Faces.
For formatting, etc., Screenwriter's Bible is a must.
(And if you don't have the software, get Final Draft or Movie Magic Screenwriter.)
Also:
Lew Hunter's Screenwriting 101
Lajos Egri's The Art of Dramatic Writing, for theater, but applicable to screenwriters as well, with a focus on three act structure
Syd Field's Screenplay
Finally, Aristotle's Poetics. Incredible how many of his theories apply to screenwriting. Big on three act structure, but there's much more. The main concept that seems to have changed between his time (2300 years ago) and ours is that he states characters are essentially unimportant and that only plot matters. Perhaps I'm overstating a bit, but if you've read it, you understand.
A few others on the shelf, but the titles slip my mind at the moment.