Hatteras is great. The main season is April through October.
Ocean Air Watersports in Avon is the biggest shop in the area, and I know they do lessons. http://www.oceanairsports.com/school...TOKEN=93558845
I think some of the other shops do lessons, too, so you might want to shop around.
I don't know about hotels in the area because I've always camped when I go there. There's a cheap campground on the sound in Rodanthe http://www.watersportsandcampground.com/
that I usually stay at. There's a shop in Rodanthe that rents gear but I don't know if they do lessons or not. http://www.hiss-waves.com/
During "windfest" in April, I stay futher south at Frisco Woods Campground, where the demo events and festivities are. Windfest 2008 is April 17th - 19th. http://www.outer-banks.com/friscowoods/
Roger Jackson and Ellen Faller bring vans full of new starboard boards to demo. It's awesome.