I agree. I usually us some sort of catalyst to help though. I like building things so I might watch something like this - http://www.youtube.com/watch?v=2c3q9K4cHzY - and then try to do it.
Or, for instance, watch MIT lectures from open courseware to try and learn how to code in Python.
Finding something you enjoy or want to learn should be the easy part. Then just try and do it using whatever resources you can muster. Pretty much everything we teach ourselves outside of mandated class work is considered self taught now isn't it?