I agree that taking a class is not a bad idea for anyone new to a complex subject such as programming. However, I've been "self teaching" myself for about 4 months now, and I think that, depending on what type of learner you are, it is possible to learn Java programming from reading all the good books you can get your hands on. I also check out a dozen or so Java websites on a regular basis. And of course read the forums here at the JavaRanch. I've found that even if I don't understand everything that people are talking about, it's a great way to introduce myself to new topics.
I look at learning Java as a fun hobby, not work. I suppose that probably helps!
Ryan