Takes me back fifteen years or so and doing some work on data fusion, where the Kalman filer was one of the techniques I studied and played around with.
A nice article it is too with lots of helpful diagrams. Quite the far cry from what I used to try and figure it all out.
Still as with most of these techniques, the real learning comes when applying the method to a new non-trivial problem. Then you get to really see it in action!
[Image credit: syvwlch]