There are a fewer comprehensive self-study Russian language programs than for learning Spanish or French. Most programs are very basic in the material covered and seem to be designed primarily to sell well in bookshops rather than for getting the student far in the language. I tested personnally the following:

Pimsleur is very good, but leaves you in the middle of nowhere and you have to find another way to continue learning. It's good for pronunciation and small talk, but you would need three times as many Pimsleur lessons to master the declension system.

The Modern Russian self-instructional course sold by Audioforum is of a very high order but does not seem to have been designed to be used entirely on your own. There are many tapes but some of the drills seem to require a Russian instructor present. This is a pity since this program is good and quite comprehensive. If somebody could overhaul it like the new FSI editions, that could be a great program.

Rosetta Stone is good fun and can help you improve your vocabulary, but it's just as limited as Pimsleur in the range of material covered. Also, you will be computer-bound when studying, which is not so good if you already work all day long at a desk. If you are going to buy an expensive Russian language self-study program, I'd go for Pimsleur anytime.