The next release of uDig includes the concept of "Cheatsheets"; these act in a manner similar to a wizard (in that the provide a series of steps); but instead are designed to supliment the running application. What is impressive is the "Click to Perform" button which will perform the task it is describing so it can show you the result.
The Quickstart cheatsheet included in uDig 1.2.3 uses this to great effect when showing the differences between the normal Map Perspective (used for working on data) and the Style Perspective (used for working on presentation).
What is even more impressive is this form of help follows you into dialogs and screens offering helpful advice as it shows you how to perform an activity.
The traditional uDig online documentation is of course still available.