Vasks has said most of what I would have said.
Also, don't just listen to your favourites: transcribe the stuff by ear, and if possible, study scores. I learnt to read music by getting a few "how to read" books together and transcribing my favourite Zappa tunes (and as a result, I have an odd sense of time and rhythm - because by transcribing I was actively engaged in the music, listening more carefully to all the minute details, I picked up the techniques that appealed to me) before moving on to other stuff too. Most of the stuff I love is not available readily as sheet music, but studying scores is useful if you can get your hands on them. Suppose it depends on how you learn, but personally, I find transcribing more useful than just reading the score and looking for stuff that way.