Learning something on your own can be extremely rewarding and fulfilling. Being taught something from someone else will most often not be as rewarding of an experience. This is why I almost always prefer to learn something on my own by doing my own research and finding programs online to help me learn.
Yes, it is better to learn than to be taught, because a person who learns is not dependent on another for their learning. There will not always be someone available to teach. A person must be able to seek out knowledge on their own and gather information that is important to them. Learning how to learn is a skill by itself.