One other thing to consider about taking the class is that you get to try several methods (MIG, TIG, gas, stick) and all of your materials are included. If you learn on your own, you pretty much have to decide on a method and buy the equipment before you have a handle on what you really want. Also, you can go through a lot of scrap steel, electrodes, and such in the learning process.

When I was taking my class it was about $350 and I figure I used at least that much just in electricity, scrap steel, and electrodes...

MIG is probably the easiest to learn, but you have to get a pretty big one to do any serious welding. Those little 115V units at Sears and such are not what you want for anything structural. Gas has the added benefit of including a cutting torch into your arsenal of tools and you can do brazing as well. Stick is good for the structural stuff. TIG usually includes the ability to do stick as well as the finer stuff and can do aluminum, stainless steel, and other exotics but the prices for a good machine are much higher.

As I said, it is good to take a class and have some experience with each method before going out a buying a machine. You will know a lot better what you are looking for.