I think the best ones, at least for learning French, are the Pimsleur CDs. My girlfriend actually became quite good in French using these. I take classes with an instructor (paid by my company) and she uses the CDs and she's just as good as me, if not better.
Here's a link. I don't claim to know anything about the site though; my girlfriend just got all the tapes off bittorent (not that I'm condoning that either):
http://www.pimsleurapproach.com/
Edit: Here's a wikipedia page on how the Pimsleur system works:
http://en.wikipedia.org/wiki/Pimsleu...earning_system