When we were first starting out, we didn't bother with lessons. The cost of 2 people going through 'beginners' and 'intermediate' courses was about the same as buying a decent dinghy and trailer. We ended up with an old but nice National-E dinghy. Timber hull, all rigging and sails in pretty good shape. It even had a spinnaker. It was about $2200AUD total for everything.
We did read sailing books before hand, and our first couple of outings were fairly disastrous/humorous, but we learned everything very quickly
this way. By our 3rd time out we were really enjoying it, and actually getting to do some exploring. We only capsized once the whole time we owned the boat. Before we knew it we were filling up the boat with beer and going on little adventures around the Broadwater from early morning till later at night. I can still remember the sound of all the empty beer cans rolling across on each tack! Good times.
I think Xort meant well when he mentioned that "it's not brain surgery". I couldn't agree more. Lessons would be a lot more structured, and maybe even not as fun. You also don't have nearly as much time to simply mess around and learn everything about your boat and how to handle different conditions.
If you have any friends that know anything about sailing, even more reason to ditch the lessons. Sailing lessons at the intro level kind of remind me of those businesses offering "surf lessons". Sometimes it's better to just buy a cheap board and paddle out, even if you do get the snot kicked out of you the first few times.
Hope that helps