The biggest difference between lua4 and lua5 is that lua4 doesn't really have a module system, per se. 5.1 also has a better garbage collector. LuaJIT (which is based on Lua 5.1) is also an option, if you're on 32-bit i386.

For learning Lua, Ierusalimschy's _Programming in Lua_ is the best book, by leaps and bounds. There are a couple other Lua books, but that one is succinct yet comprehensive, like K&R and Pike's Bell Labs stuff.

The Lua Users' Wiki (http://lua-users.org/wiki/) is also helpful, as is the mailing list.