I've used several books and materials to study. While I find watching anime to be a fun diversion, it really doesn't expand my vocabulary very much. I've picked up a few words here and there, but even while watching an English movie subtitled in English, I tend to read more than I listen. It's even worse with Japanese dialogue and english subtitles.
While in Japan, we used books called "Minna no Nihongo". They provide a lot of good vocabulary, and are my primary vocabulary studybooks. In addition to their extensive and logically progressive vocabulary, each chapter has a grammar explanation section. Books one and two have enough vocabulary and grammar for one to be very proficient in Japanese.
I've recently took an interest in the "Japanese in Mangaland" series. They provide better explanations for Japanese grammar and vocab than any I have seen so far. The authors are clearly very familiar with both languages, and have an good understanding of how to teach Japanese.
At the University of Washington, anybody can take classes from something called the "Experimental College." One of the classes is a Japanese conversation class, which is about 8-10 weeks of 2 hour sessions (once a week). I'd recommend looking into your local college/university for classes that anyone can easily sign up and take. I took the Japanese conversational class about three times, and learned a lot. It's great not only to hear Japanese spoken by a native speaker, but also to meet a group of friends who are all interested in learning Japanese.
I was able to find a wonderful private tutor through www.craigslist.com . She has done everything from translation, to ambassadorial work, to negotiations between American and Japanese companies. I am very lucky to have been able to study with someone who can explain everything from coarse anime-speech to the kind of talking that one must use with a prime minister.
I've been using an online tool called "Flash My Brain" ( www.flashmybrain.com ). Basically, it is an online flashcard program that lets me fill out my own flashcards, arrange them into decks, then use them from any computer connected to the internet. Very convenient!
My favorite dictionary is also online. ( http://www.j-prep.com/reference/ ). It is great since I can look up words using english, romaji, kanji, katakana and hiragana.
Finally, my school offers to setup people from the Seattle area with foreign exchange students. I was able to meet with a Japanese student for a quarter, a wonderful experience!
Probably the most difficultly I've had is figuring out a good curriculum to stick to in order to study. I jump around between studying vocab, learning kanji, and trying to find people to talk to in order to better my conversational skills. On the one hand, I feel like with enough vocabulary I should be able to express myself very well, even without super-advanced grammatical knowledge. On the other hand, if I could just learn enough kanji to be able to read Japanese books, then my ability to pickup new vocabulary should increase substantially. Unfortunately kanji is very difficult for me, and I don't have a very good way of studying it yet.
I should add that the tools, services, books, and classes I mention are all things that I use or have used, and that I am not affiliated with them in any professional capacity. I just want to get the word out for people in similar situations to me (and maybe people can suggest to me how best to study on my own).