One of the first things a new ham needs to learn when they get on the air is the phonetic alphabet. Because many alphabet letters sound the same over the air it is important to use phonetics when spelling out words or giving your call sign accurately. This is particularly important when checking into a radio net, which is where many new hams get started.
Proper amateur radio protocol uses the International Telecommunication Union (ITU) phonetic alphabet. You are likely to hear other phonetic alphabets on the air but should learn the ITU version and use it. Start learning even before you take your license exam so you are ready to go when you get your ticket.
The best way to learn ITU phonetics is to practice. Familiarize yourself with the phonetics and then practice by spelling words out. A great way to do this is while sitting idle at a traffic light or while walking through a parking lot. Just start spelling out signs and license plates phonetically. When you see a stop sign, just say out loud, “Sierra Tango Oscar Papa.”
Note that there are official pronunciations for each character and a few may seem a little odd; this is to accommodate many native languages, not just American English. There are also specific ways of pronouncing certain numbers (niner is the most obvious one) and punctuation. Be advised that the official ITU number pronunciation is very odd (a mixture of languages) and the ones shown below are more common for amateur radio usage.
One good ITU phonetic alphabet link is located here. It is also pasted below.