(Diversion on theory textbooks...) Though I didn't pick it, at my school we use Steve Laitz's The Complete Musician (http://www.amazon.com/Complete-Musician-Integrated-Approach-...) and its associated workbooks. I wouldn't recommend it for self-study, because there are a lot of little errors in it a student likely wouldn't notice, and it's prone to confusing people. What might be better for learning on your own is Gary Karpinski's Manual for Ear Training and Sight Singing (http://www.amazon.com/Manual-Ear-Training-Sight-Singing/dp/0...) and the CD that goes along with it. Finding ear-training books is kind of difficult, since most are designed to be used in a class with a teacher. I have more opinions on textbooks but I'll save that rant for now.
Online, this site is pretty good for basic intervals and chords (as I said above), and http://www.musictheory.net/ also has some pretty basic exercises. It avoids a lot of the problems I mentioned above by simply not having those exercises for ear training. I think it's pretty good for people who don't know anything and want to learn, but I usually don't recommend it to my students because it tends to fuzz some specifics as it gets more advanced. I often recommend this software called Practica Musica (http://www.ars-nova.com/practica6.html), which we have installed in the lab at school.
(Background: I teach at a liberal-arts undergraduate institution, and the theory curriculum focuses on common-practice tonal music in the Western tradition. There are probably other more specific sources for particular genres, but knowing the basics of common-practice tonality is a good foundation for most other Western musics.)