I appreciate having Khan academy for looking up math concept that on which I need a refresher, but I've herd (or maybe just assumed?) that the higher level teaching was a bit mediocre. You disagree?

Comparing Khan Academy's linear algebra course to the free book that I recommended, I believe that Khan Academy will be more difficult to understand if you don't already have some background knowledge of linear algebra. This is not true for the calculus course though. Comparing both calculus and linear algebra to the books I recommend, I believe that Khan Academy only provides a rough sketch of the topics with much less rigor than can be found in books.

Regarding the quality of Khan Academy. I believe it is varying between excellent and mediocre. But I haven't read enough rigorous material to judge this confidently.

The advantage of Khan Academy is that you get a quick and useful overview. There are books that are also concise and provide an overview, often in the form of so called lecture notes. But they are incredible difficult to understand (assume a lot of prerequisites).

As a more rigorous alternative to Khan Academy try coursera.org.

What's the value of taking classes in math vs. teaching myself (or maybe teaching myself with the occasional help of a tutor)?

I've never visited a class or got the help of a tutor. I think you can do just fine without one if you use Google and test your knowledge by buying solved problem books. There are a lot of such books:

• Probability Problems and Solutions
• Fifty Challenging Problems in Probability with Solutions
• The Humongous Book of Statistics Problems
• Probability and Statistics with Applications : A Problem Solving Text
• 102 Combinatorial Problems
• Schaum's 3,000 Solved Problems in Calculus
• 3,000 Solved Problems in Linear Algebra
• Challenging Problems in Geometry
• The Humongous Book of Trigonometry Problems

Some massive open online courses now offer personal tutors if you pay a monthly fee. udacity.com is one example here.

I also want to add the following recommendations to my original sequence, since you specifically asked about Bayesian statistics:

1. Bayes' Rule: A Tutorial Introduction to Bayesian Analysis
2. Doing Bayesian Data Analysis: A Tutorial with R and BUGS (new version will be released in November)