I had to take an on line course, because I live in the UK and there are very few LW training centres over here.
It was the Pro Character course at
http://www.splinegod.com. Obviously this is only any good if you are interested in character based work and it's pretty expensive, but if you can afford it and your interested in this kind of thing I'd go for it, I thought it was excellent. You get all the lectures on CD so you can watch them over and over, theres too much info to take in all at once, if you have any questions you get to ask the tutor in a user group. Might be worth a look if you can't find a class to go to
Scott