As far as the anime thing goes, I'd recommend downloading a series in it's raw format; something you haven't seen subbed before. Part of the problem with using something that's subbed is that you get used to the localization, which, while accurate in getting the meaning across, may not be as accurate in the wording itself. Also, perhaps just to me, but, it seems sort of boring listening to something that's meant to be watched.
When watching a raw, you can also use visual clues to figure out what's being said. It's not perfect, but it can help with simpler phrases and words; for example, while character X is drinking a glass of water, character Y walks in and asks "Nani suru no?". Character X replies "Mizu wo nondeiru." If you were just listening, you might not have any real idea what's going on, however, if you were watching, you might be able to surmise that character Y said "What are you doing?" and character X said "Drinking water."
This has also probably been mentioned, but, I wouldn't really recommend using anime and manga as a replacement for study material; it's great fun once you can get into it and it's a good way to keep yourself excited about learning, as you'll notice that you're picking up more and more (assuming you keep up with studying), but it’s not going to take the place of a good grammar book.
As far as self-study goes, I’m sort of in the same boat that you are; I don’t really have the means to take a class right now. The closest thing I’ve taken to an actual class was an online highschool level course, and realistically, everything I got from the class could easily be gleaned from any half decent book. Even if you can’t take a class right now, getting some grammar books wouldn’t be a bad idea; worst case scenario, you get into a class and you’ve got a leg up on everyone else.
Books that I can recommend are:
The Japanese in Mangaland series - I was skeptical about these at first; I bought one on a whim, and was pleasantly surprised to find that it was actually rather useful.
Japanese Step by Step – This is the first grammar book I purchased and it does a half decent job, but the main problem is that it seems to completely ignore the plain verb form, covering only the polite and very polite versions; when I got the mangaland books, I was amazed to find out that “iku” and “ikimasu” meant the same thing, with one being used in a casual situation and one being used in a formal situation.
Making Sense of Japanese – This book is slightly intermediate, I think, but, I’d recommend getting it at the start of your studies and reading through the wa/ga portion. Some of it might go over your head(it sure went over mine), but it helped me get a much firmer grasp of the whole wa/ga usage in the language.
All About Particles – This one has quizzes you can use to test your progress with particles.
A Dictionary of Basic Sentence Patterns
A Guide to Remembering Japanese Characters
People have also recommended electronic flashcards; those have never really worked for me, so I’ve been using the flashcards from WhiteRabbitPress.
Most of the books I’ve mentioned are pretty inexpensive, as are the flashcards. I’d also recommend getting the DS Dictionary that Kyouki recommended; it makes lookup go 100x faster.
Finally, assuming you stay with self-study for a while, I’d recommend getting multiple basic grammar books; it sounds odd, but something that might sound odd or unclear in book X might be crystal clear in book Y. I’ve never really used a textbook, so I can’t comment on the quality of any of them; they all seem geared towards a classroom setting, so I try to stay from them.
You may also want to consider hiring a tutor or something; the 4 years I spent in college were comprised largely of boring and basic classes, thanks to the fact that most of my peers were either inattentive, stupid, or both.
EDIT: I meant to mention this link, but I forgot.
www.epochrypha.com/japanese/