The best self-study book I've come across is The New Penguin Russian Course: A Complete Course for Beginners Penguin Handbooks: Amazon.co.uk: Nicholas J. Brown: Books

It's of vastly better quality than most self-study courses - which tend to be little more than glorified phrase books - but some beginners might find it a little dense as a result. There are no audio or visual gimmicks either, so it can be a bit dry. Basically it'll take you farther and faster in your study, but you'll have to work a bit harder too.