Well, start by getting really good at the ones you will use the most. For example, learn the List interface and ArrayList implementation first. Once you're comfortable with those, you can use that understanding to learn some others, like Map and HashMap. You will start see start to see how things like Trees, Sets, linked lists, etc., all have certain differences that make them better to use in various situations.
Just as a carpenter doesn't learn about all the available tools first before trying to build something, a
Java programmer can't hope to learn the whole API from a book (or a forum). Grab some nails and a hammer and start pounding away!