O'Caml—typed, imperative / functional language (you'll need this if you wish to compile Coq)
O'Caml manual—if you want to do any O'Caml programming, this gives comprehensive documentation of the language, the standard library, and O'CamlLex / O'CamlYacc
If you're using a Debian-based system (this works with Ubuntu GNU/Linux, at least), you can save a lot of trouble by installing everything via: "sudo apt-get install coq proofgeneral-coq"