I've tried many different self-learning resources for Russian. I started with Pimsleur and made it about half way through before I got frustrated with my limited vocabulary. As you know it's great for speaking practice. I've gotten many complements on my pronunciation.
Then I moved on to Rosetta Stone. Rosetta Stone is good for building the basic vocabulary. Sitting on the computer clicking on pictures and listening to speakers is less tedious than flash cards. It is frustrating though that the path they have you follow takes a long time to get to some words that you will need quickly when you are in Russia. It is also extremely frustrating to the point of useless for Russian grammar. I would only really recommend it if was free.
Next I moved onto the New Penguin Beginner's Guide to Russian. This book has helped me immensely. It is very readable and fills in the holes that are left from Pimsleur and Rosetta, slowly increasing your vocabulary, and giving you a good grasp on the case system and aspects. It has taught me things that have increased my vocabulary retention. I am about halfway through.
Simultaneously I used a program called Anki flashcards, with a "deck" of cards made from the 1000 most frequent Russian words. This program is great because it uses a spaced repetition similar to Pimsleur based on the feedback you give on the particular word's difficulty. This lets you get the obvious words out of the way quickly. Also, you can download a plug-in called Google Text to Speech (TTS) that has a mass download feature, which will automatically and quickly annotate the whole deck of cards with a Russian and/or English pronunciation. Google uses native speakers, so it sounds decent (though sometimes buggy), and hearing the words as you go speeds up the learning process a lot.
As I flip through the cards I annotate the harder ones with an example sentence taken from either Lingvo (Abby Lingvo, a solid Ru/En software dictionary) or
MasterRussian (a great website for resources). This helps you quickly memorize at least 1 useful phrase for the word. I wouldn't put too much info per card. The decks for 1000 most frequent words, 500 most frequent verbs, etc. are all available for free download when you get the program. You can even download a Pimsleur plug-in which copies their system.
I'm in Russia right now so obviously that helps. If I had to do it again though I would have studied a lot more before I came, and I would have skipped Rosetta and used Pimsleur and the Penguin guide from the get-go. Anki is crucial once you get the hang of it. Some of my Russian friends have a Slova (something like that) dictionary on their iPhones, I haven't really looked into it. Mind you, my speaking level is still weakish, I can understand a lot, and when I read I can understand even more. I've been here a couple of months and it definitely doesn't come quickly. I have a tutor for conversation practice, they are pretty cheap if you're not in a big city (300 rubles/hr..about $10).