Lyle Campbell's HISTORICAL LINGUISTICS: An Introduction is the latest textbook initiating students into the study of language change. Already in its second edition, the book is quite impressive and I highly recommend it to anyone entering the field.
Campbell begins by discussing three types of change, that of sounds, that of the lexicon in borrowing, and analogical change. After making students aware of these diachronic developments, he then presents the comparative method and the technique of proto-language reconstruction. After showing how regular correspondences indicate development from a common source, Campbell discusses the classification of languages and models of linguistic change. For me, the most exciting chapter is that on internal reconstruction, where Campbell gives a number of examples (not just the usual one of PIE ablaut). The author then covers three others types of change, semantic, lexical, and syntactic. A chapter on areal linguistics familiarises the reader with dialectology, and one on distant genetic relationships introduces theories like Nostratic. Finally, discussion of philology and a chapter on reconstruction of proto-cultures and the hunting of Urheimats closes the book.
The finest aspect of this book is the great variety of languages from which Campbell draws his examples. Many textbooks, such as that of Lehmann, limit their focus mostly to Indo-European, but Campbell also gives attention to Finno-Ugric, Polynesian languages, Semitic, and many indigenous American languages, especially the Mayan languages which the authors seems expert in. In fact, the lack of sticking just to Indo-European makes this a very useful text for budding Indo-Europeanists, because most of the other language family reconstructions make use of typology, a technique only now beginning to be applied to IE. I can make few complaints about the work, though his use of palatal velars in PIE reconstructions seems out of fashion.
This is a real textbook, exercises are abudant and really challenge the student to apply all he has learned. The author does assume students already have some understanding of phonology and general linguistic terminology.
If you are interested in the general field of historical linguistics and have some prior training in linguistics, Campbell's textbook is one of the best primers available and highly worth seeking out.