I just took a welding class, and I got far more out of in just in terms of consumables that I paid for the class. I went through a *lot* of O/A cutting 1" plate (which I took home for various projects), and I went through more than 50 pounds of rod, not to mention all the stock metal to practice welding on, electricity and other misc stuff.
In addition to the cost saved by me not having to buy all the above stuff, I got some pretty good instruction.
If you can, take the class!
Oh, and I also hauled a grwat parts cabinate, blower, and a bunch of other goodies out of the trash at school. I almost got a bridgeport-style milling machine, too, but it didn't work out ;-(.