Depends on the subject, I suppose. Each method/format has its advantages and disadvantages (except never learning, which isn't really an option)
Institutionalized learning (school)
+Structure
+Accountability
+Guided learning
-Not always an interesting format
-Combination of structure and accountability takes away from the fun
-Not much control over what you learn
-Quality can vary depending on the institution
-Potential cost
Practical learning while on the job
+Usually practical knowledge, prioritizing the essentials
+Getting paid to learn
+Accountability (and possibly some structure)
-Learning can feel stressful
-Narrow scope of learning
Learning from your own mistakes
+Experience can be a great teacher; more likely to ingrain certain lessons
-Absurdly limited range of topics
-If you're not sure why you actually made the mistake, can keep making it
-Can completely miss certain things because you haven't encountered them; ie, some solutions won't occur you
Self-teaching through reading, documentaries, etc
+Complete freedom, allowing you to study what you want and how much
+Broadest range of topics and scope of learning
-Almost entirely reliant on personal motivation
-Lack of guidance and structure can greatly impede learning
Learning by conversing with others
+Potentially wide array of subjects
-Limited by who you know
-You generally won't be talking to subject-matter experts so the information you receive may be of questionable quality or outright wrong. (Case-in-point would be learning about politics through Facebook.)
Learning through observing things such as nature or people
+Watching others can help you detect your own blindspots
+Original research
-Impractical method
-You won't necessarily learn best-practices
Other
First thing to jump to mind is mentorship, which is a tremendous learning system (although limited by your mentor's or mentors' experiences)
Another is non-institutionalized structured learning like online courses and webinars.
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