ARexx is a scripting language and although you can use it to launch applications, you're better off using a regular AmigaDOS script for that, if it's required.
ARexx is far more powerful than AmigaDOS, but isn't really intended as a replacement. ARexx's principal strength is that it allows you to write scripts that can talk to "hosts"; that is, any application that has an ARexx port. This allows ARexx to control the application (within the limits of what features it exposes to ARexx). As a single script can communicate with multiple hosts, it can coordinate activity between applications. Any command it doesn't understand, it forwards to the currently selected host. By default, the host is the shell itself.
If you want to start with ARexx, the manuals are included on the OS3.5 / 3.9 CD. One of the features of Workbench in those versions are that it too has an ARexx port. I have several scripts that are launched at startup that I use to make my WB more accessible from the keyboard.
It's actually possible to write applications in ARexx but it isn't particularly quick (though considerably faster than AmigaDOS itself).