I taught myself from watching videos of others. It just takes a lot of practice.
Zachmonky gave a video review for "Do You Want to Learn Juggling?". I think it's a Magic Makers DVD, but apparently it's very good. If you've seen Zach's juggling, he's skilled and hasn't even gotten through half of the stuff on the video.
Here's the trailer, it looks pretty amazing for 30 dollars. http://www.youtube.com/watch?v=wwF2p8mdcmw
I believe you can buy it at MJM or MagicPro Shop
The only con, is that I'd imagine with a DVD, you'd do a lot of rewinding to catch some things. Plus you'd have to learn in an area in front of a TV, which may not be the best atmoshpere for juggling. You can take a book out in your garage or backyard, and easily pick up wherever you want to learn.