This is the most common description programmers give for their training. Even those who have had formal ComputerScience or ElectricalEngineering? educations consider the bulk of their job skills to have been obtained informally and individually.
Interestingly, it seems that the best programmers all teach themselves the same things.
This is by necessity. The programming languages and techniques one learns in school are often not applicable to the real world, and the set of marketable real-world skills changes every couple of years. So staying on top of things and taking charge of one's own education is essential to a programmer's career.
Also, many programmers learned how to in their teen years, before any formal instruction in college. Since people learn best what they learn first, learning how to program is a skill which predates driving for some.
But note that there is nothing shameful about being self-taught; a fair number of acclaimed inventors, scientists, mathematicians, entreprenuers, etc, were self-taught (never forget Ramanujan(http://www-gap.dcs.st-and.ac.uk/~history/Mathematicians/Ramanujan.html), the most dramatic example in history! fascinating) Conversely, the average college graduate soaks up relatively little of the education they were theoretically exposed to.
Corroborating stories on FirstLanguageLearned.
See also HowMuchDoYouLearnInSchool, WikiReadersBackground, SinkOrSwim, LearningProgrammingLanguages