Much depends upon:
- Your style of learning
- What you're studying
- How much time you plan on dedicating
- What your budget is
That being said, CBT Nuggets, TrainSignal and TestOut are all good. If you learn best by both lecture and reading, the CBT Nuggets or TrainSignal, and using either the MS Press or Sybex books is a good choice. Alternatively, TestOut provides video training, printed materials, scenario based training and practice tests all in one. You'll find almost everyone here will recommend any of these. All are good. There isn't one that's "best". Each has a different style of teaching you the material.
As to having a test lab set up, I'd say it's definitely a must. If your hardware can handle it, using Virtual PC is adequate for learning purposes.
