The two things that helped me best when learning about there were:
Chapter 8, "Functional Parsers," from Graham Hutton's book Programming in Haskell. This doesn't mention monads at all, actually, but if you can work through chapter and really understand everything in it, particularly how a sequence of bind operations is evaluated, you'll understand the internals of monads. Expect this to take several tries.
The tutorial All About Monads. This gives several good examples of their use, and I have to say that the analogy in Appendex I worked for me.