It depends where you live and whats available to you.
In some cities Judo is not cheap at all.
Is there a wrestling team you can join, is there a university near you that has club sports that you can become a part of for a small fee?
"I just wasn't sure if it was something that could be learned without the aid of a regular class session."
IMHO, I don't think its a good idea to try to learn grappling, or any martial art for that matter, without a qualified teacher and fellow students.