The excellent thing about the Information Security field is the overwhelming amount of training material and resources that can be found on the Internet through community contributions. I'll try and link you to some stuff I've found quite handy.
SQLi is a project maintained by Audi-1, a well known friend from #offtopicsec Freenode IRC. The project consists of vulnerable applications for you to compromise/experiment on along with a video series available on SecurityTube for you to refer to as a walkthrough.
Project Git: https://github.com/Audi-1/sqli-labs
Vulnerable Web Applications
Hack.me is a web server that allows you to practice web application exploitation on apps made by other people and also to upload your own applications.
HackAServer allows the same as Hack.me but isn't limited to web applications. You basically use OpenVPN to connect to their network and thereafter can attack machines, a lot of which will have web application vulns such as SQLi.
Vulnerable Virtual Machines
SecurityTube Tools does a great job at covering all the major VulnVMs out there for people to practice on offline. These include complete OSs for OS and service pentesting along with ones only for web application testing.
I found the following two books really comprehensive and useful when learning web application security. So if you're ready for the read, then these are some good things.
- The Web Application Hacker's Handbook
- The Tangled Web: A Guide to Securing Modern Web Applications [Michal Zalewski]