I just took an airbrush course and we used the Temptu S-One compressor ($185). I believe Temptu is a division of Iwata, but not completely sure. We used it with Temptu S/B Foundations, which looked amazing as they are silicone based. I would love to get one of the small travel sized compressors but they are pricier. Boo! I'm pretty sure I'll be purchasing the S-One, but OCC was tempting me for a while.
I thought airbrush was fairly easy to learn - I think you definitely COULD learn on your own. However if you take a class, even if its only a few hours, you'll be set straight away with everything.
For me the hardest part was learning how to take it apart and clean it!