@Mirage, well, as for myself I was not self-taught. I actually went to university and while there I was pursuing a degree in computer science and learned a number of programming languages such as C++, Java, Visual Basic 6, etc as part of my degree. However, that is not to say you have to go that route. These days it is quite possible to learn any language at home without spending a lot of money. However, if you want a quality education in software development you should spend some money on books and other resources since paid materials are almost always better than free ones.

For example, Macmillan Publishing has a number of Sam's Teach Yourself programming books such as Teach Yourself C++ in 21 Days or Teach Yourself Visual Basic .NET in 24 Hours which are by far the easiest books to get started learning to programming. I have gotten several of them to keep my programming skills up to date and to learn new languages quickly and I think if you can afford them they are a good start.

Another thing is O'reilly and Associates has a number of beginner books that are good that explains anything and everything you want to know about a given language such as Java in a Nutshell, Visual Basic .NET in a Nutshell, and so on which are very in depth books on a given language that are written from a fairly new programmers perspective.

I guess at this point though before you do anything you need to know what you want out of a programming language. There are many programming languages and all of them have pros and cons. There is no absolutely right or absolutely wrong choice. It is just that some are better than others at doing certain things. Cost also might be a factor to consider. Platform is another. So once you think about more what you want to do with it that will help narrow down the choices for you.