Learning modern OpenGL
I'm currently learning modern OpenGL as well. I've also had hard time finding good resources, but here's what I've discovered so far.
I searched for a good book and ended up with OpenGL ES 2.0 Programming Guide, which I think is the best choice for learning modern OpenGL right now. Yes, the book is about OpenGL ES, but don't let that scare you. The good thing about OpenGL ES 2.0 is that all the slow parts of the API have been removed so you don't get any bad habits from learning it while it's still very close to desktop OpenGL otherwise, with only a few features missing, which I think you can learn rather easily after you've mastered OpenGL ES 2.0.
On the other hand, you don't have the mess with windowing libraries etc. that you have with desktop OpenGL and so the book on OpenGL ES won't help you there. I think it's very subjective which libraries to use, but so far I've managed fine with SDL, ImageMagick and Open Asset Import Library.
Now, the book has been a good help, but apart from that, there's also a nice collection of tutorials teaching modern OpenGL from ground up at OpenGL development on Linux. (I think it's valid on other OSes the name nevertheless.) The book, the tutorials and a glance or two every now and then to the Orange Book have been enough in getting me understand the basics of modern OpenGL. Note that I'm still not a master in the area, but it's definitely got me started.
So... currently we have OpenGL 4.2 out, which as I read somewhere requires dx11 hardware (what does it mean?) and set of 'side' libraries, to for example create window.
DX11 hardware is... hardware that has "supports DirectX 11" written on the side of the box. I'm not sure what it is you're asking here; are you unclear on what Direct3D is, what D3D 11 is, or what separates D3D 11 from prior versions?
FYI: D3D is a Windows-only alternative to using OpenGL to access rendering hardware. Version 11 is just the most recent version of the API. And D3D11 adds a few new things compared to D3D10, but nothing much that a beginner would need.
OpenGL is a specification that describes a certain interface for graphics operations. How this interface is created is not part of OpenGL. Therefore, every platform has its own way for creating an OpenGL context. Windows uses the Win32 API with WGL. X-Windows uses the X-Windows API with GLX functions. And so forth.
Libraries like GLUT, GLFW, etc are libraries that abstract all of these differences. They create and manage an OpenGL window for you, so that you don't have to dirty your code with platform-specific details. You do not have to use any of them.
Granted, if you're interested in learning OpenGL, it's best to avoid dealing with platform-specific minutae like how to take care of a HWND and such.
And we have also GLEW, which is extension loading utility... wait... isn't GLUT/GLFW already an extension? Is there any reason to use it, like are there any really important extensions to get interested with?
This is another misunderstanding. GLUT is a library, not an extension. An OpenGL extension is part of OpenGL. See, OpenGL is just a specification, a document. The implementation of OpenGL that you're currently using implements the OpenGL graphics system, but it may also implement a number of extensions to that graphics system.
GLUT is not part of OpenGL; it's just a library. The job of GLUT is to create and manage an OpenGL window. GLEW is also a library, which is used for loading OpenGL functions. It's not the only alternative, but it is a popular one.
Untill now we have window creation (and some utilities), but... OGL doesn't take care of loading textures, neither 3D models. How many other libs do I need?
OpenGL is not a game engine. It is a graphics system, designed for interfacing with dedicated graphics hardware. This job has nothing to do with things like loading anything from any kind of file. Yes, making a game requires this, but as previously stated, OpenGL is not a game engine.
If you need to load a file format to do something you wish to do, then you will need to either write code to do the loading (and format adjustment needed to interface with GL) or download a library that does it for you. The OpenGL Wiki maintains a pretty good list of tools for different tasks.
There is (in)famous NeHe tutorial. Written in C with use of WinApi, with extremely unclear code and outdated solutions, yet still the most popular one. Some stuff like Red Book can be found, which are related to versions like 2.x or 3.x, however there are just few (and unfinished) tutorials mentioning 4.x.
What to go with?
The OpenGL Wiki maintains a list of online materials for learning OpenGL stuff, both old-school and more modern.
WARNING: Shameless Self-Promotion Follows!
My tutorials on learning graphics are pretty good, with many sections and is still actively being worked on. It doesn't teach any OpenGL 4.x-specific functionality, but OpenGL 3.3 is completely compatible with 4.2. All of those programs will run just fine on 4.x hardware.
If you are writing a game, I would avoid things like GLUT, and write your own wrappers that will make the most sense for your game rendering architecture.
I would also avoid OpenGL 4.2 at this point, unless you only want to target specific hardware on specific platforms, because support is minimal. i.e., the latest version of Mac OSX Lion just added support for OpenGL 3.2.
For the most comprehensive coverage of machines made in the last few years, build your framework around OpenGL 2.1 and add additional support for newer OpenGL features where they make sense. The overall design should be the same. If you're only interested in targeting "current" machines, i.e. machines from late 2011 and forward, build your framework around OpenGL 3. Only the newest hardware supports 4.2, and only on Windows and some Linux. If you're interested in targeting mobile devices and consoles, use OpenGL ES 2.0.
GLEW loads and manages OpenGL Extensions, which are hardware extensions from different vendors, as opposed to GLUT which is a toolkit for building OpenGL applications, completely different things. I would highly recommend using GLEW, as it will provide a clean mechanism for determining which features are available on the hardware it is being run on, and will free you from the task of having to manually assign function pointers to the appropriate functions.
OpenGL SuperBible is a pretty good book, also check OpenGL Shading Language. Everything you do with modern OpenGL is going to involve the use of shaders - no more fixed functionality - so your biggest challenge is going to be understanding GLSL and how the shader pipelines work.