My way of learning a language was to get some minimal exposure to basic vocab and grammar rules for that language (skim a beginner's grammar book on that language), then move to reading a novel with the original English and the foreign language translation side by side. For example, Harry Potter and John Grisham novels have been translated into just about every language in the world. After a few months or more of that, I would start to listen to the language on the radio (news reports, for example). By that point, having already completed a few months of reading, I would have a decent passive vocabulary; picking up the listening part (and eventually the spoken part) would go pretty fast and painless.
Naturally, this way of learning meant that I picked up reading skills first and that speaking/listening skills lagged considerably behind. Language software/tapes typically put the emphasis on the reverse: They try to get you up and running on simple spoken language exposure first, with the assumption that you want to travel to the country and get around on your own. They drill you on how to order food in a restaurant and buy tickets at a train station. In my case I was a professional translator, translating documents from other languages into English. For me, reading skills were primary and speaking/listening skills were not all that necessary.
When I *did* want to pick up spoken skills, then any language tapes were fine for me since I probably had a good passive vocab in the language by that point. Pimsleur seemed okay for playing and repeating phrases while driving. Never tried Rosetta--that system only got big later in my career. But if I wasn't driving, then most of all I liked listening to foreign language news broadcasts: They gave me a current vocabulary on a limited number of daily repeatable subjects; for example, currently one would hear daily updates on the quake/tsunami/nuke situation in Japan, or daily updates on the hostilities in Libya.
Also, as NotOfTwo said above, learning styles are individual. If there's no hurry, introverts might prefer to use books first; extroverts might head directly to the tapes and TV/radio shows. And so on.