The best way to learn on your own is to start with a project. A specific goal. Maybe something simple, like an inventory database front-end for organizing your CD collection.
Most of learning JBoss is just getting familiar with what goes where, not learning Java.
If you are really intersted in Java technologies you should read the great (free) online books written by Bruce Eckel.
You can find them here http://mindview.erde3.net/ for instance.
Start with 'Thinking in Java' which you can also buy in your book store.
And of course nothing is better than making your own mistakes by coding.