Teach yourself Stand up Comedy by Logan Murray is an excellent book, really worth a read - I attended a Stand Up Course at the Comedy Store, and I didn't really learn anything more than I had already read in this book.
A bonus of doing courses though, I found myself, was the workshop side of things, where you discuss each others set/bounce idea around/discuss why some things work and some things don't - And of course theres the networking side of things - it so important to build up contacts, although trawling internet forums can start to build them for you.
In conclusion, reading a good book, watching plenty of live comedy, talking to comedians and taking the plunge will stand you in very good stead. A comedy course will help, but for the money you spend you won't learn much more.