I'm teaching myself Gregg shorthand. I tried (briefly) Pitman once, but the idea of discerning two characters only by their thickness never sounded too good to me (plus, it ruled out using a pen). The books for Gregg shorthand are now in the public domain, so you can download them for free, as they are hard to find. I'll probably print and bind my copy one of these days.

If you are learning a language other than English, you might want to look into localized shorthand systems. I know that German has its own and that Pitman has been adapted to Spanish, but there are other alternatives.