I've been learning on my own for around 2 years now. It's hard when your an undergrad, but I still find time to continue advancing.
I started off playing
Slime Forest to learn how to read the kana. Then I learned how to recognize the meaning of 800+ kanji through the game, which helped me remember readings and whatnot of kanji later. Then I bought a
good text to start learning grammar and whatnot. The romanji helped out during the phase where I was still getting accustomed to reading kana at any significant pace, and I found the grammatical descriptions and flow-charts fit my learning style quite well. I'm a scientific person (well, math oriented), so I like remembering patterns which can generalize, instead of just remembering lists of things. The fact that the writer of the text was written by a former IBM engineer probably played a role in that :).
After all this, I needed more material to draw from, so I purchased a large collection of books over a period of about a year. These include: Genki I & II,
an intermediate level text, a simple dictionary, a
kanji book, A Dictionary of Basic Japanese Grammar (and the Intermediate version),
a particle handbook, and
a Japanese literature book.
I've come a far way through self-study. I'm even teaching beginner level Japanese at the Japan club at my university. I've found the key to do something, anything, everyday. As long as I keep reading stuff, or looking stuff up that I think of, I either keep a base level of knowledge, or progress everyday. I'm always on the lookout for more reading material for me, as I've gone through the Genki texts like 4-6 times each now :P. That's another thing, I don't spend too much time to make sure I got everything down before moving on. Once I reach a point where stuff is way too difficult to continue, I just go back to start and work my way back up to where I was. By this time, I can usually progress further since I've solidified more concepts on my current read-through.
EDIT: Oh yeah, I find that through my self-directed method of learning, my reading is actually at a relatively high level, whereas my conversational skills is lacking. In other words, my passive skill is much better than my active one. This is why I wish I could take a course. I'm hoping that going to Japan this fall will also help me out.