Double underscore functions are translating functions, which allow you to 
internationalize your application. (You can always look at the code to try 
and figure out what it does - it's also a great way to learn!)

Cake is a large project, so there will always be things missing from the 
docs. Feel free to contribute as you figure things out and find what's 
missing. There are a few books on CakePHP 1.3 (Mariano's comes to mind), 
but CakePHP 2 is very new so you won't find any. And you're right, 
generally you don't see books because they become dated quickly.

If you have little questions like "what does __d()" do, you can always ask 
on IRC. Most people are pretty helpful. 

Don't give up hope! We're all always trying to improve CakePHP with better 
docs and user contributed content. It's all created on volunteer time so 
it's important to understand there's only so much the core team can do.

-jeremy

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