Math requires a lot of time spent outside of the classroom. Most of the books you’ll find at the local book stores (The Complete Idiot’s Guide to Calculus, Calculus for Dummies, etc) are usually pretty thin on the exercises and are meant to supplement a proper calculus book.
Once of the most important things in a Math class is practice. I think they might also sell accompanying exercise books for these, but the standard calculus textbook comes loaded with easily a hundred or more exercises per section. I haven’t any experience with the Thompson book, but Stewart’s Calculus (this is a college textbook) is pretty good and helped me deal with some pretty awful calculus professors without affecting my GPA.
It’s also really farking expensive.
Another option would be to take classes at a community college. They usually have classes or seminars for non-degree-seeking people, meaning you can just take a math class for whatever personal benefit. Even the best book can’t make up for personal instruction, so if you’re looking for the best learning experience I recommend taking a class.
I didn’t have much trouble teaching myself discrete mathematics, linear algebra, or anything below pre-calculus, but there’s no way in hell I would have made it through Integral Calculus (Calc II at most colleges) or Multi-variable Calculus (Calc III) without the help of professors and TAs.