I don't know about the rest of you, but I know that speaking for myself I really enjoy listening to GM Alex Yermolinsky. Not only is he quite entertaining, but he has a way of imparting wisdom in a way that is easy to digest for the average club player.
Shortly after he started his Every Russian Schoolboy Knows series for ICC he had a lecture that said that it was important to find a "chess buddy" to study with.
Lately I have been doing that with a couple of friends of mine. Here is what I have noticed...
First of all, studying with a friend(s) will force you to look at the position actively. When I study on my own I can fudge a little here and there. I can say "I'd do X" without having to really look deeply into the position. After all, there is no one there to challenge my ideas. And with no one to challenge them who's to say that they are wrong?
Naturally, when you are never forced to admit you are wrong it can hamper your development. Studying with other people you will often find your ideas challenged. Also, even when you are correct you will still learn more than you would alone. That's because you have to understand your ideas well enough to explain them to others. So it's no longer enough to say that "Bg5 is the correct move" then glance at the solution and say "Oh, I was right!" Instead you'll need to KNOW that Bg5 is correct and be able to explain why it is.
Another benefit is that you get multiple perspectives on a position. For example, one of the two people I generally study with has a highly refined positional understanding. The other knows general chess principles rather well. My contribution is a feel for taking the initiative. But if we were studying individually we wouldn't have all of those perspectives.
Something else that is nice is that you get a good feel for how others approach studying in general. For example, you see what kinds of books/dvd's/etc they have and what sort of "laboratory" they have set up to use.
So there is a lot to be gained by doing things this way, and I highly encourage everyone who wants to improve to find a friend to study with.