I taught myself through a combination of books, online videos and MIL (she showed me how to purl when I just couldn't get it). I think my style is a bit unorthodox (I think it's kind of continental but not exactly) but it works for me and now I can do some pretty complicated projects.
For books, you can start with the pamphlets published by Patons sold at Spotlight and just about every wool/knitting shop. When you're ready to commit to buying books, Stitch and b**ch by Debbie Stoller is a good place to start, it has lots of projects and also lists other useful knitting books. Debbie Bliss Baby Knits for Beginners was also a good starter book. Knitting for babies is great for beginners as the projects are small and not too daunting.
Other great books I've got (I have a few)
Knitting in Plain English
Knitting Without Tears (love this title

)
The Readers Digest Complete Guide to Sewing and Knitting (out of print but still can be found if you try)
It's been a while since I've needed to refer to online videos but knittinghelp.com was very helpful. Videos really show you when written instructions or diagrams aren't making sense.
As mentioned above, I needed MIL to help me purl (the yarn just kept slipping of the needle) so there may be times when there's no substitute for a real live teacher. That said, ever since then I've been able to master any other skills with books/videos and a bit of trial and error.
Good luck and I hope you enjoy it!