I first taught myself music theory when I was in high school - I think when I was around 16 or so. I simply went to the local university and bought the first theory book I saw at the bookstore. Coincidently, I was at my parent's house for Christmas and stumbled across the book - "Fundamentals of Music Theory" by Bertrand Howard. I taught myself enough theory that I was able to test out of theory I when I went to college. I studied two years of theory at university (as well as a year of music history, form and analysis, and counterpoint) - we used a book written by the head of our music department - but we also used Walter Piston's book "Harmony." Though I never finished my music degree (I was a theory/composition major), I ended up with a music minor. And to prove that you're never too old to learn, I'll be studying composition, advanced theory, orchestration, and arranging with a professor at the Univeristy of Wisconsin. She has a PhD in theory, and I look forward to studying again...
I wasn't a music major but in college I took a bunch of music theory classes to satisfy my humanities requirements. The textbook we used was Walter Piston, which teaches analysis using roman numeral figured bass. I didn't like the textbook, I thought it the explanations were too terse.
I have another theory book which I like much better, "Harmonielehre im Selbststudium" (means self-study) by Thomas Krämer, don't know if it's available in english though. It teaches that there are only 3 chords, I IV and V, and the other degrees are alterations of these. For the figured bass analysis it actually uses the symbols T S and D. I thought the guy was nuts at first but I've grown to like thinking that way. It's a great text for review, IMO the problem sets are excellent, but I don'T think it's possible to learn music theory by yourself.
Also I have a jazz harmony book, in a strange way it's a different subject entirely. Basically you take any two chords, diatonically related or not, figure out the 'gamut' of notes, and from there figure out which scales/modes you can play over them, inside choices and outside choices. That's hardcore jazz. But atonal music is too intellectual for my tastebuds.
