I taught myself Dutch by shortwave radio about 30 years ago (remember me, I was the little girl with the big briefcase
). There were books, records (records!), and you listened to the class on the radio.
I've got some German for Business tapes that aren't bad.
Can't you get Italian television in New York? I've got 3 or 4 Italian stations on satellite here. I find listening to foreign languages on radio or television works better for me than most text-based programs, as you can get a more natural effect. The Italian version of Candid Camera is killer.