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This is quite a broad question which will be hard to answer, generally. You don't tell us what type of predictive modeling you are interested in, and from what background you are coming.
As a straightforward approach to regression modelling for the purposes of predictive modeling that should be approachable from a variety of backgrounds, I recommend two books:
1) Frank Harrell Jr's "Regression Modeling Strategies", 2nd edition (2015) published by Springer. -- this is a great introductory text for the practical application of creating regression models. The book is written with examples and code in R.
2) Ewout Steyerberg's "Clinical Prediction Models" (2009) published by Springer.-- this book takes common regression models and applies them to the task of making clinical predictions. The book is also written with examples and code in R.
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