I think these are usually two different things, but most people conflate the two. There was a great discussion over at SQL Server Central based on an editorial by Steve Jones. It’s worth reading through to see how people learn or get themselves trained.
One common theme is reading books. I’m looking at stacks of them all over my desk, so it would be hard to deny their use. If you too like to read, then I’ve got something for you. Red Gate is doing a promotion where, when you purchase SQL Tool Belt, you can also download five E-Books offered by Apress. Several of them look pretty interesting, so this is a good deal. Not to mention, if you’re not using some of the tools from SQL Tool Belt already, you’re in for a treat. SQL Compare and SQL Prompt must be open on my desktop most days and I use several of the other tools every week. Get a good book and check out the great tools.
Updated to accurately reflect the offer.