One thing I miss about private guitar lessons is learning small exercises that improve your hands’ dexterity and agility. John Petrucci of Dream Theater fame has two excellent articles over at Guitar World that are really solid.
His advice on practicing is spot on:

Of all the things that can frustrate a guitarist the most, it’s the nagging feeling that he’s not reaching a certain level of proficiency as quickly as he should.

I couldn’t agree more. This has been my experience with my DIY approach to guitar playing for the last several years. It’s quite easy to fall into the trap of not pushing yourself. Exercises like these will definitely help any player increase their level of proficiency rapidly. Just remember to start out slow with a metronome.
John Petrucci: Practice Tips, Part 1 & Part 2