There are already so many very good language websites that I don't want to duplicate efforts. There are also a lot of good apps (Duolingo, Memrise, etc), too. This page is now just my thoughts on the benefits of some of the "old-style" "book & audio" courses and which ones helped me.
If you still prefer the old book & audio course format for learning languages, I did a lot of research, checked out many books from the library, etc. After all my research, I realized that the Living Language Ultimate and Ultimate Advanced series were the best for me (unfortunately they're now out of print). Here's why I liked them:
The Living Language Ultimate is a Dialog-based course. These courses cover a lot of material in a very small amount of space. One negative is that they require one to "read between the lines" and extract basic information from the dialogs without explaining all the mechanics; it helps if you know something about the language beforehand, but you can work through it. Each Living Language Ultimate course is supposed to be the equivalent of two years of college study (the way I undestand it, the Ultimate beginning-intermediate is two years and the Ultimate Advanced is an additional two years); I haven't decided on the accuracy of that statement.
Even though they're out of print, I still feel that the Living Language Ultimate courses are the best "book & audio" courses. If you want a "book & audio" course, I'll still recommend getting the "Ultimate" series (you'll have to find used copies).
One important thing to keep in mind: everyone learns differently. What works well for me might not work for someone else. The important thing to do is to go to your library and check out some books. Listen to and read them before you go out and buy them: that's the beauty of the library system.
Another possible choice:
Previously, I didn't recommend buying the Barron's Mastering {language} series (and I still don't recommend BUYING it); however, two things have changed since I first wrote this page:
1) as I already said, the Living Language Ultimate series is out of print, and
2) FSI, which Barron's just repackaged, is freely (and legally) available on the internet. Why pay for something when it is legally free? While I think the Living Language Ultimate courses are better, since the FSI courses are free, they're decent enough to use (and you can't beat the price).
Some thoughts on the free FSI Spanish course (each course is a little different - different formatting, slightly different structure, features, etc. My thoughts here are related to the Spanish course only).
First, the original book was typed using a typewriter (1961); the free PDF looks the be an OCRed scan of the book. It's searchable and the Table of Contents in the Acrobat sidebar is clickable, so it makes it easy to move around.
Secondly, the book/PDF includes a pronunciation guide for almost every pharse. I thought this pronciation guide was very difficult to interpret and use; I found it easier to read along with the audio and hear how the spelled word is pronunced.
Lastly, it was difficult to understand what was being said in the mp3 for each lesson. I think it was combination of the speakers not inunciating clearly and the quality of the recording. Of course, they didn't have the recording technology we have today, so it's probably what you'd expect.
These issues are what made the Barron's Mastering course not worth spending money on (and I STILL wouldn't BUY it). Since you can get the course for free, though, these issues are more tolerable.