INITIAL EXPOSURE:
I first learned how to program by going through the Teach Yourself Java in 21 Days book. It's a decent book.. enough to provide a good intro to software dev. a degree is nice, but with the right books and some discipline, you can do it on your own. i do agree with the others that if you want to learn on your own, you need to decide on what you want to do first. also, study some data structures and some algorithms when you're comfortable programming the basics.
SCHOOL:
studied computer science in college. my uni did mostly java, with courses also doing projects in other languages like c, c++, perl, and others like lisp, prolog and assembly. for some web projects, we used tools like j2ee and advanced server pages. my personal favorite language is java. it's obj oriented, relatively easy to use and basically cross-platform. imho, all schools should at cover memory management using C and C++. many companies develop in C and C++. no curriculum should deprive their students of this knowledge. in order to teach CS concepts like algorithms, however, i think java is a great choice.
GUI:
here's another reason i like java. for the gui, java developers can now use sun's Netbeans IDE with its Matisse gui designer. it got great accolades. or, if you don't mind doing some stuff manually you can use JGoodies to create nice interfaces for multiple platforms. python also sounds like a great language. i believe you can do web apps with ease or standalone apps w/ other libraries. imho, Visual Studio is too MS-centric.
GAME DEV:
study lots of math. also take any related courses like computer graphics.
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