The documentation linked to by the left side navigation bar is non-normative and provides a comprehensive by-example description of OData to make it simple to learn the protocol. The description of OData on this page is divided into a group of documents (Core, Formats, URL Conventions, etc) to reflect the fact OData is designed to be modular such that an OData implementation need only implement as much of an OData specification as required for its target scenario.
To get started learning OData, begin by reading the OData Core document and progress to the other documents as required by your scenario.
OData V3 Protocol Specification
If the "by example" documents provided on left of this page do not cover an aspect of OData in enough depth for your use case, the normative OData documents are also available:
OData V4 Protocol Specification
The OData V4 specification is now in public review. Links to the HTML versions are available here.