While studying jazz in college, I realized that I learned the most from transcription. When I think about it, the goal of the curriculum was to teach me how to do what the guys on the record were doing. While it helps to have an instructor or mentor review your progress, correct your mistakes, and help you through difficult passages, it really all comes down to using your ears to sound like the soloist in the recording. Transcribing is such an effective way to learn because you're learning more than just the notes on a piece of paper, you're also learning how to imitate tone, feel, and inflections. Nuance. These are things that can't be notated and can't really be taught in private lessons.
This exercise shouldn't be reserved only for jazz musicians. As my tastes have branched out, I keep finding beauty and genius in other styles of music, by artists that probably had much less formal training than me, if any at all. I want to learn from all of them.
It seems to me a lot of musicians now get so preoccupied with establishing their own sound or their own style that they forget to really explore the music of the artists that inspire them the most. Take a moment to think about how your favorite artists got to be as good as they are now. How did they develop their style? What makes their sound so recognizable?
Chances are, it took years of focused development, one way or another. Do you really think there's a shortcut?