I'll second Lingua Latina in conjunction with the College Companion. When learning on my own I quickly ran into deep water with LL on it's own. The Companion is geared to work directly with the text examples and covers both the grammar and the vocabulary.
There is also a Teacher's Materials book available that has the answer key to the exercises in the text as well as copies of the exercises if you want to xerox them to work with them.
You will still want a full grammar and a good dictionary.
Depending on your English grammar skills you might consider English Grammar for Students of Latin by Norma Goldman. I've found it invaluable for succinctly explaining grammatical concepts and illustrating it in both Latin and English.