With self-study you own the study material and can refer back to it again and again.
In a classroom, if you miss what the instructor says then you have missed it, but you can run a CD-ROM or rewind a video as often as you want.

Also, self-study is available at a fraction of the cost of classroom training and not everyone has the time to attend classroom lecture which are scheduled. With self-study, you study at your own pace and convenience.

Time wasted traveling to and from the classroom is better spent on studying the course material.