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!