Hehe, gogo guys! Do it!
But yeah, I learned mine playing games... specially visual novels; practically everything is read out to you, you just figure out the pronunciation of kanjis' based on the hiraganas around them.
It's not like I understand 100% of what's being said, or written in games like Atelier Rorona/Totori/Meruru, but I get most everything important. Nouns are still a bit out there.
I'll second that. Voiced visual novels and other similar games with voice + text (the Summon Night series, the Disgaea series, Final Fantasy X, etc.) are great for reinforcing what you've learned and picking up some new words. You can also take your time to digest the text, something you can't do easily with speech. As in English, native speakers will speak Japanese much faster in real-life conversations than in video game recordings. And when you're starting out, even video game recordings can seem a bit fast. Sacred Blaze was pretty accommodating about it if I recall. I think it had a feature to let you replay the line just spoken.
If you're having problems starting off, a formal introductory course at a college or language center would be a great start. Once you have the basics (pronunciation, kana, basic kanji, and basic grammar) learned, you can set off on your own.
Jisho.org is a great resource for looking up words. It also includes technical words and casual words. You can enter English and look for a word in Japanese. For Japanese, there's multiple options to enter it (kana/kanji, Hepburn romanization, Kunrei romanization).
@kalbee:
Heh heh... nouns are easy to work with but there are probably more of them than any other part of speech. I don't have 100% proficiency either, but it's enough to understand things. Very few people I know have native speaker level proficiency in their non-native languages without having to use it on a near-daily basis. The important part is being able to learn new words yourself, just as you would in your own native language.
@Mshenay:
I think what makes people think learning a new language is hard is the "payoff time". It's like a jigsaw puzzle. You can work at it bits and pieces on various parts. But until you get a lot of it done, you're not going to see the picture.
In other news,
Gung Ho Online Entertainment could be releasing stuff into English. The Black/Matrix bit brings back memories.
[and know what was being said on le labels!] 
