Currently, the Julia CUDA stack is the most mature, easiest to install, and full-featured. The CUDA.jl documentation is a central place for information on all relevant packages. Start with the instructions on how to install the stack, and follow with this introductory tutorial.
If you prefer videos, the presentations below highlight different aspects of the toolchain.
Design and benefits of the Julia GPU stack
Composability with existing (non-GPU) software
Performance killers and tools for optimization
Design and implementation of the Julia language
Retargeting the language to GPUs
Use of LLVM with LLVM.jl
Benefits of a high-level language for GPU programming