Another resource I have found to be invaluable to my religious self-teaching is The Teaching Company. They provide actual university lectures by some of the most well known professors on tape/CD/DVD on almost any subject you want. These are some of the religious courses that I have had the pleasure of listening to and would recommend to others.
American Religious History Taught by Patrick N. Allitt, Emory University
From Jesus to Constantine: A History of Early Christianity Taught by Bart D. Ehrman, The University of North Carolina at Chapel Hill
God and Mankind: Comparative Religions Taught by Robert Oden, Carleton College
Great World Religions, Taught by Malcolm David Eckel, John L. Esposito, Isaiah M. Gafni, Luke Timothy Johnson, Mark W. Muesse
Lost Christianities: Christian Scriptures and the Battles over Authentication, Taught by Professor Bart D. Ehrman, The University of North Carolina at Chapel Hill