I agree with the previous poster, tapes and CDs have can be "dangerous" because you know them by heart pretty soon. But if you insist on them anyway, the ARRL tapes and CDs (see http://www.arrl.org/catalog/
) generally get pretty good reviews.
I myself made very good experience with the MFJ-418 code tutor (http://www.mfjenterprises.com/products.php?prodid=MFJ-418
Advantage: you can take it everywhere and do not depend on a PC.
I recommend very much the Koch method for learning the code (can be used with the MFJ-418). There is a nice documentation available for free (pdf file) under http://www.qsl.net/n9bor/n0hff.htm
that explains the method.