On the Ibuildings techPortal Matt Setter has written up an excellent guide to help you along the quick and easy path to creating a custom Magento module tailored to fit your needs.

[This tutorial] details some of the key sections of how to build a custom Magento module, some of the concepts, assumptions and key points that that you are likely to encounter on a regular basis when building ecommerce installations with this software. [...] Looking through these splintered [documentation] resources can be time-consuming so in this article I give you the key details when building a module in Magento.

He talks about doing how you'll need to do things "The Magento Way" to get it up and working correctly, what the directory structure needs to look like, key points and files to look out for and plenty of code to show you how to push, pull and manipulate data from a source. There's even things mentioned like cron automation, handling events and module deployment.