You can read all the theory in the world about priority queues and binary searches, but seeing these structures in action can really make it click. If you're the sort of developer that learns better with pictures rather than words, check out VisuAlgo.
The site is interactive, so you can say, insert elements for the list / collection examples and watch as it animates the action. The top left corner usually provides an explanation of what's occurring, while pseudo code pops up in the bottom right.
Hopefully more structures and algorithms will be added over time, but the selection available now is very solid.