I'm just over 4 years into compliance and the best experience I've gotten so far was at a small savings bank. The things that have worked for me are:
-to join a state bankers type association and try to attend training events.
-sign up for as many relevant periodic blogs/e-mails as you can (some of which were ABA Dodd-Frank Tracker, Trinovus, Jack Holzknecht's blog, NAFCU compliance blog/PolicyWorks, Consumer Compliance Outlook, ABA Common Sense Compliance, cBanc).
-attend as many free on-point webinars as possible.
-use and participate on BankersOnline (I need to contribute more).
-gather and read Bank policies.
-for me, start creating your own compliance library (for HMDA, that might include the GIR, the FFIEC FAQ's, and then various regulator guidances; for FCRA, the law, the 40 Years of Experience book, Tatelbaum letters, Stinneford letter). Nothing you buy off the shelf is better.
-and start somewhere. For me, HMDA was a good place to start, because it lent itself to quarterly monitoring, led into ECOA/Reg. B, commercial loan applications, FCRA permissible purpose, CRA, and Fair Lending.
Good luck!