There are many ways to try and learn a language, and none of them can be said to be the best; everybody can find one or the other to be the most suitable for them.
Due to proper advertising, taking a language course appears to be the most obvious way to tackle a new tongue. However, the results of such courses vary greatly. Many people find that while formal language education increases their knowledge of the written language, the spoken element of courses tends to be lacking.
Full or Partial Immersion
Immersion is the equivalent of teaching a person to swim by dropping him or her into a pool of water. The procedure is simple: you reach a country or place where the language of your interest is spoken, and interact with people until you reach the desired degree of fluency in communication.
There is a variation on this theme that allows for those who cannot reasonably immerse themselves in another place and culture for extended periods of time: partial immersion. One example of this would be for you to drop by a bar or pub where the majority of the clientele speak the language you are trying to learn, and you get drunk with the indigenous population. It might not grant you a very fast advance in the entirety of the language, but you will become soon proficient in the dictionary area which embraces drinks, the tools designed to contain them (bottles, glasses, etc), and - often - financial transactions, without which you will be unable to continue visiting said establishment. For the most part, the regular patrons will probably seem to find it quite enjoyable to witness your foray into their language.
A noticeably inexpensive method, said to have been suggested by the late linguist Mario Lucidi, is self-teaching through literature. This can be used by whoever has a basic understanding of a language's grammar and knows a few hundred words - a level reachable through any elementary course - but wonders how to learn more words.
This is the procedure that Lucidi explained:
Pick a book in your chosen language. It must be interesting to you for some reason: it may be by your favourite writer, or you may need to read it for your job, for example.
Decide how long you want to study every day. If you need an hour to read a page, then it may be an hour, for instance.
On the first day read page 1, looking up in your dictionary every word you do not understand, until you understand each sentence's meaning perfectly. Remember, though, to underline each such word with a pencil.
On the second day, copy every word you underlined on page 1 onto your notebook, in a column. While you are writing them, look up every word whose meaning you have forgotten. Then, read page 2 and underline every word you have to look up.
On the third day, write on your notebook the translation of every word you copied on day 2, and obviously look up every word whose meaning you have forgotten. Then, you write on a column the words you underlined on day 2, and look up those you have forgotten. Then, read page 3, always looking up and underlining every word you do not understand.
On the fourth day, use a piece of cardboard to cover the translation of the words on page 1 and you check, word by word, if you remember each of them. If you can't remember one, you slide down your piece of cardboard and read the translation. Then, write the translation of the foreign words on page 2 (which you wrote on day 3), and write the foreign words you found on page 3. In both cases, you must look up the words you don't remember. Finally, read page 4 and underline the words you have to look up.
On the fifth day glance at the list of the words you found on page 1... they should look rather familiar by now. Cover the translation of the words on page 2, and check (always one by one) if you remember them. Write down the translations of the words on page 3, and the very words you underlined on page 4. Now you can read page 5, and underline the words you have to look up.
This description may sound tedious, but the average drinking game is equally iterative, yet people deem it funny: It might be worth trying. Moreover, as days pass you should become faster and faster, since you are increasingly acquainted with the procedure, and you know more and more words; managing to read two, three or more pages in the time you used to spend for just one page should be a remarkable reward.