The last class my company paid to send me to was essentially a workstation in a quiet room, a one-month supscription to CBTNuggets, and a VM to play around on.

Since your company doesn't want to pony up enough to send you to a class, you might look into having that budget get you a subscrition to CBTNuggets. I found their videos to be clear and eaiser to follow than dry Microsoft training guides, and more watchable than the free videos on youtube. As you watch the videos, implement what they are describing on a VM or test instance.

I worried this sounds like spam for cbtnuggets but I honestly have no connection to them other than what I described above. If you have some training money available but not enough for all the intructor-taught classes you're interested in, this is a very good option.