For me, I will find a style of food that I am interested in. Then I will go to Half Price Books and buy 3–4 cookbooks on that style of food.
So if I want to learn to make Indian food, I pick out some recipes from those cookbooks and start learning how to do them. It is more involved than that, though, because you also (with the better cookbooks) learn some of the history and how to stock your pantry with the right ingredients for that style of cooking.
I will follow a recipe once or twice to get it down, then susequent times I cook that food I will make adjustments to suit my own tastes. I will do this with single recipies, or entire planned out meals.
It doesn’t have to just be a particular ethnicity of food though, either. You can buy a books on cakes and pies and have fun with those. Or a book on sandwiches and make a different sandwich every Saturday for lunch.
The most important thing, though, in my opinion, is to try recipies that introduce you to new cooking techniques and methods. Oh, and to have fun while you are doing it.