I've bought a Raspberry and I did some easy test, I studied it and I' m very curious about GPIO connection and how to use it. How could I control that? I'd like to start controlling a LED on a bread board. How could I do?
You could start out with something simple like a GPIO breakout board, for instance the BerryClip from Raspberry Pi Spy (http://www.raspberrypi-spy.co.uk/berryclip-6-led-add-on-board/) which will show you the kinds of things you can do and will introduce you to programming.
If you want to try something slightly more advanced, there's an interesting tutorial here which goes into a fair amount of detail: http://lwk.mjhosting.co.uk/?p=343
When you have further specific questions about GPIO, feel free to post them to Stack Exchange.