Does anyone have any ideas of how to teach yourself Russian effectively?

Find yourself a Russian wife?

Here's what I'd do:
-Start by getting a whole bunch of input. Spend at least 1 week simply listening to the language as spoken by natives, by way of radio, tv, movies, etc.
-Next, use Michel Thomas &/or Assimil's introductory courses.
-Next, get a spaced repetition software (SRS), such as Anki or Mnemosyne.
-It's time to begin learning sentences & phrases. Take native-like, grammatically correct sentences from Russian radio, tv, movies, books, internet, etc, & load them into your SRS. Try to do as many as you can daily.
-At first, your sentences will be Russian-to-English. After at least 500 sentences but no more than 1,000 you'll want to go Russian-to-Russian. The effect of using only Russian to discuss Russian is pretty phenomenal; it’s like your Russian becomes a self-sustaining reaction. You will probably have to do a lot of looking up, such that your answer area may contain definitions of definitions.
-After 10,000 sentences/phrases you should be fluent!

Thanks. I've never taught myself a language before, I've just been taught in a classroom setting, which works for Spanish, but I can't find a reasonably priced Russian class in my area, so I'll give what you said a try.

I think you'll find that learning on your own is more effective than in a classroom. Classrooms tend to focus way too much on output (producing the language) which can be rather detrimental at an early stage.
But, self-learning isn't for everyone. Some people simply lack the self-discipline necessary to keep studying regularly.

I don't like the classroom that much, because you are bogged down by your peers, who are there only because they have to be there. In fact, I learned more Spanish vocabulary from reading the first Harry Potter book in Spanish than in a year of class. All we learned in class was grammar.

Yeah, I had the same problem during high school language classes.

Urghh... I sometimes really would want to join a course, because I'm that kind of people that don't have the dedication to keep studying, even if it's of course more productive.

But the memories of my classmates with which I learned English still haunt me!

Haha, this happens to me (I'm sure to everyone who wants to learn something at one point or another). Imagine a Spanish class; you're trying to memorise the order of direct and indirect object pronouns and the conjugations of haber, while everyone around you is saying Me llamo Kevin. Tengo un gato pero yo gusta perros. /mi 'lamo 'kɛvɪn 'tɛŋgo un 'gɑto 'peɹo jo 'gustə pɛɹos/.

*This is 7 months in.
**Bold=pronunciation
***Underline=grammar

Oh, seeing this stuff makes me so happy that I chose German. I have the only semi-decent German teacher in Texas.

I don't like classes either, because as a language geek, I tend to advance ahead of the class really fast, so I get bored in class. I wouldn't mind a one on one tutor, but my biggest issue with the class is that it only goes as fast as its slowest student.

So most of the class is doing pretty well, but in the second year, we still have people ask "which one is dative case?" Ergh.