I prefer to learn from several different sources depending on how urgent the need is, and how much I already know.
Classroom and workshop based courses are a great way to go from zero, as you can ask lots of questions and fill in the holes in your knowledge. Maybe this isn't the best method if you are very self concious about appearing foolish, but I always console myself with the truism that a fool wouldn't ask to begin with. The interaction with other people, most of whom are in the same boat as you, is also encouraging, as seeing other people struggle with difficult concepts helps make you realise that you are not alone in your labours.
Books and on-line reference sites (such as safari bookshelf) are great when you need a comprehensive reference, or need to access the knowledge Right Now. But if you are missing the foundation knowledge necessary to understand it, they won't provide it.
My least favourite are video tutorials, I tend to zone out if all I have to do is be a passive recipient. To this end I have been trying to use them, so that my learning skills don't atrophy. It can be a struggle, and I find I have to replay sections that I have missed. These have become very popular recently, but the quality of the knowledge, and presentation, can vary greatly between providers.