It has much more than MCMC, but the "Probabilistic Graphical Models" textbook by Daphne Koller (of Coursera) and Nir Friedman is a thorough introduction to the subject. It includes a discussion of MCMC that will leave you with a deeper understanding than the typical shallow treatment.

As an alternative, you can try watching about 90 minutes of lecture starting here:

https://class.coursera.org/pgm-003/lecture/71

but it will drop you right into the fray without much context.