Learning the locations of different blood vessels is just a matter of memorization I'm afraid, so this page will focus more upon the structure and physiology of arteries and veins.  

Arteries

        Arteries are the blood vessels that carry blood away from the heart.  In most cases this blood is oxygen rich, but this is not true for the pulmonary artery which leaves the right ventricle and carries blood to the lungs.  The beating of the heart is the driving force behind the blood's travels through the arteries.  

        The arteries, and the veins for that matter, are made up of three coats.

• Tunica Externa: The outermost coat.  Supports and protects the vessel.  This coat is composed of areolar or fibrous connective tissue.  

• Tunica Media: Made of smooth muscle and elastic tissue.  This layer is thicker in arteries then in veins, which allows for more arterial expansion.  The smooth muscle of this coat is innervated by autonomic fibers which allows control over blood vessel diameter.

• Tunica Intima: The innermost layer.  One layer of simple squamous epithelium makes up this coat.

Like every tissue in the body, blood vessels need to obtain oxygen and nutrients from the blood.  The cells of the tunica intima receive these life requirements from the blood flowing through the vessels.  Cells of the tunica media receive oxygen, etc. by diffusion.  The tunica externa is supplied with blood by tiny vessels known as vasa vasorum.

Veins

        Veins are the vessels which deliver blood to the heart.  Generally speaking this is deoxygenated blood, except in the case of the pulmonary veins which carry oxygenated blood from the lungs to the left atrium of the heart.  

        There are a couple differences in the anatomy of veins.  The tunica media is not as thick in veins because it just doesn't need to be.  Veins are not subject to the pressure that is exerted on the arteries.  Semilunar valves in the veins prevent the backflow of blood.    Venous return is stimulated by skeletal muscle.

Capillaries

Capillaries are the smallest blood vessels and the point at which gases and nutrients in the blood are delivered to the tissues.  The capillaries consist of only one layer of cells which is the tunica intima.

The Systemic Circuit

        Oxygen rich blood leaves the left ventricle by way of the aorta.  As the blood travels through the arteries it enters progressively smaller vessels (arterioles).  Eventually the blood reaches the capillaries and the needed gases and nutrients carried in the blood diffuse to the tissues.  

        Wastes and carbon dioxide leave the body's tissues, diffusing across the single endothelial layer of the capillaries are are then transported by venules to the veins.  The body's veins drain into one of the two great veins, the superior and inferior vena cava, which then empty the deoxygenated blood into the right atrium of the heart.

The Pulmonary Circuit

        The pulmonary circuit is a much shorter pathway for the blood.  Deoxygenated blood leaves the right ventricle by way of the pulmonary artery.  It travels to the lungs through the right and left pulmonary arteries, and there the diffusion of gases takes place.  The newly oxygenated blood is then delivered to the left atrium by the pulmonary veins.

Blood Pressure

Blood pressure is a force exerted against the walls of the blood vessels.  Measurement of BP is made with a sphygmomonometer, and records two numbers.  The top number is the systolic pressure, and reflects the pressure in the arteries when the heart's ventricles contract.  The bottom number is the diastolic number and reflects the pressure in the vessels when the ventricles relax.  The diastolic pressure is indicative of the level of peripheral resistance which is effected by the blood's viscosity as well as by the arteriole diameter.  

The volume of blood in the arteries, the amount of peripheral resistance and the cardiac output are all factors which effect arterial blood pressure.  

Baroreceptors

Baroreceptors are located in the aortic arch and near the bifurcation of the common carotids.  They are, as you might guess, sensitive to pressure.  If blood pressure increases, the baroreceptors sense the difference and stimulate the cardioinhibitory center in the medulla oblongata.  This results in a decreased heart rate.  The baroreceptors also inhibits the vasomotor center in the medulla, which causes the blood vessels in the blood reserves to dilate.  The resulting decrease in venous return, along with the reduced heart rate, decreases cardiac output.

When the blood pressure drops, the opposite of this process happens.  The vasomotor center is stimulated by the baroreceptors.  The smooth muscle of the blood vessels in the body's blood reservoirs constricts which releases more blood into the systemic circulation.  The resulting increase in venous return increases cardiac output.

Chemoreceptors

Chemoreceptors are also located in the aorta and carotid arteries.  Sensing low oxygen levels (hypoxia), the chemoreceptors stimulate the vasomotor center.  The resulting increase in venous return again increases cardiac output and blood flow which also increases oxygen levels in the body.