There's no way to learn a language while sleeping, but there are plenty of ways to learn it badly and painfully. Here are the most common ways to do it badly and some good, tried, efficient ways to learn it on your own.

A. Books and tapes

There are good books and tapes for most languages, and I indicate those I know in the individual languages pages. My advice is not to follow the bookseller's advice, unless he himself learned a foreign language with a book he's trying to sell you.  They are good at selling books, not at learning languages, and some very successful language learning books are just bad. (A little personal experience on this ...)
The best books/tapes I know are either Pimsleur of FSI, things you won't find in your local bookshop but that you can order by phone :
Pimsleur : Dr Pimsleur was an American linguist who developped a language learning method based on tapes that people can use in their cars. Not cheap, it is very efficient in having people master (understand and speak) the most useful situations in many languages. You get tapes with two 30 minutes lessons by tape, and a booklet for helping you read the language. There are 30 lessons sets and for the main languages there's a full 90 lessons set. You should really aim for the full set, which in a maximum of 90 days will take you to medium-advanced level with excellent pronunciation and perfect fluency. I used the Pimsleur Italian tapes with great success and passed them on to friends who had as much success as I did. Now I'm working on the Pimsleur russian tapes with good results so far. Beware though that you will have to find something for the advanced level, be it a course or a book.
FSI : The Foreign Service Institute is the part of the US Department of State that teaches languages to diplomats. Jointly with the Defense Language Institute, they have developed many excellent book/tapes sets for most languages, including some relatively minor ones. If there's a good FSI method, you should take it because they are excellent, with many good tapes and intelligent textbooks. The two problems are that the layout is not very fancy and that to get them it could be more straightforward. Actually the first place I would  check would be at Audioforum, an expensive but otherwise good language book dealer. If you can't find what you want, check the US goverment service, NTIS, that will print the book for you and send them. They are efficient but you have to query the database yourself and nobody will help you choose the book.