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Hey, I'm actually the author of Mastering UDK Game Development. The book covers an awful lot of content and I personally think it's a good value, but if you are just starting out with UDK you could check out my beginner's book as a lot of people told me that was enjoyable to read. I also have a third book coming out next month which is kind of a sequel to that first book leading up to the Mastering book.

That being said, the Mastering Unreal Technology books are what I originally used to learn Unreal and I highly recommend them. However the book was created before UDK came out. I'm sure there are going to be differences (especially with the Content Browser) but it is a great book and I also second that WOLD is an awesome source too.

If you're interested in UnrealScript and coding, Rachel Cordone's book is quite good as well. Hope this helps!

UDK has its own language called Unreal Script. It has some influence from Java and C++ but also has big portions that is unique to itself.

There are a few books and a good amount of information on Unreal Script.

Unreal Script Home
Learn Programming With Unreal Script
Unreal Development Kit Game Programming with UnrealScript: Beginner's Guide

A Google search will show you some more as well.

There are books. Almost all of them suck. The only one that is any decent is mostly all theory so you will have to figure out the implementation details on your own:
http://www.amazon.com/Game-Engine-Architecture-Jason-Gregory/dp/1568814135/ref=sr_1_1?ie=UTF8&qid=1321484581&sr=8-1

The problem is that a game engine very large and complex and often needs to be built with a particular game type in mind. There is a reason all of the UDK games look like UDK games.

Ask yourself this: Do you want to build an engine or a game? You are unlikely to do both in any reasonable amount of time (multiple years). Perhaps you can scale back your design's grand vision of an open world game to something more manageable with an off-the-shelf engine like UDK or Unity rather than build an engine.

This is good if you're willing to spend money.


Edit: You should also look up youtube videos for learning how to make the maps and stuff. (That book is mainly for Unrealscript)

If you are willing to spend some money, UDK Game Developmen by Alan Thorn is a nice book to start.