Self education can be a great way to get better at what you do, or explore different possibilities for future jobs or career direction.
Kevin Kelly of the Cool Tool blog says he considered an MBA, but went down the road of self education instead:
"I figured out I would learn more spending $500 in self-education. So I devoted $200 for books and the other $300 actually starting a small mail-order business (the fee went for an ad). In two years I learned more about how business really worked than any MBA graduate I had met."
He writes up a free ebook, the Personal MBA, which was put together as a guide for people who want to learn about business at their own pace, through reading key business books.
One of the benefits of self education is that you can cherry pick the topics which interest you, and the Personal MBA site is set up to let you do that - there's a reading list for each topic, ranging from applied psychology through to entrepreneurship and strategy.
As with any course of study, you'll probably get more out of your self education if you discuss your reading with others, just as you can gain immeasurably practical experience through running your own business.
The original PDF version of the course can be downloaded for free here. Or the updated reading list is available on the Personal MBA website.