I think it does take most people a while to get their head around it but I'm addicted to it.
You just find people you're interested in and see what they say.
I did start off following celebs and musicians I like but frankly they tend to be self centred bores or have some minion running their account and just post personal stuff so now they're all gone and I just follow people who are incredibly funny.
Most of the ones I now follow are because someone else retweeted something of theirs so I started following.
# is hashtag. If someone uses # then you can click on that and see every other tweet using that hashtag. So there's a trend at the moment of #readingfc. If you wanted to see what people were saying and join in talking about whatever it is you just use that same hashtag.
@ are to send tweets directly to specific people (but they're not private).