Because of the number of languages I want to learn, it won't be possible to take classes in all of them. As such, I'm all for learning independently.
Do you have a favorite software or book for language learning? I haven't delved too much yet, but I've tried out livemocha. It's pretty good for getting a very basic grasp on the language, although I've found that it's necessary to search elsewhere for grammar explanations. Also, when looking for other tools, such as books, what do you look for? How do get a sense of what's the best one without trying them all?
I'm picking up Italian, I want to properly learn it at some point, but what has helped me in French and Italian is watching loads of films in that language with the English subtitles and constantly listening to French/Italian songs (of course you learn lyrics and translation).
You can also buy books of short stories written in the language you want to learn with the translation on the page next to it. The 'New Penguin Parallel Text' books are good for this.
Being on a tight budget, trying software and books hasn't really been much of an option for me. The internet is the best resource I've found. Livemocha is a good starting point, but like you said, it leaves some questions unanswered.
You might try Lang-8. Users keep a journal in their target language, and native speakers of that language correct their journal entries. You in turn correct entries in your native language. You can use this as a place to ask those grammar questions too! It's extremely useful, not to mention you have a community.
A couple years ago I was lucky to get in on a special sale at Textfugu, an online textbook for learning Japanese. Lifetime membership for $50. That deal isn't around anymore, though. However I would definitely recommend Textfugu to anyone wanting to independently study Japanese.
For free software, the SRS software Anki is amazing. You can use it to learn anything, not just languages. It's basically the best thing ever.
And of course, immersion has worked well for me. I can't physically go to the countries of my target languages, but listening and watching as much as I can has been probably the single best method for me. You can pick up so much from watching television in your target language, plus it's fun. When I'm serious about studying, I'll watch a movie or something, and every time I take notice of a new word or expression, I write it down and add it to Anki. Seeing that word being used in the context of a story cements it into my mind far more than reading it in a vocabulary list. Often times when I hear that word again, my mind instantly flashes to that initial flash bulb memory of the first time I heard it, and I never forget what it means.
There's a blog about language acquisition through self-created immersion, called All Japanese All the Time (or Ajatt). Its ideas can be applied to any language. He can be a bit extreme, but he's also become a polyglot through his methods, so he probably knows what he's talking about. I guess it's up to each of us to determine how far we want to go in our studies, and how fluent is fluent enough for us. Whether or not you agree with everything he says, his blog is a valuable resource for motivation, methods, ideas, and discussion on language acquisition. It's worth reading.
That's about all I've got. Hopefully people can glean something useful from what I've shared.