The notion of expensive is quite relative.
I recon that for an individual to take a SANS course which totals something like 5k USD, plus 600 USD for a certification exam attempt, it's a heavy weight to consider (and that's what brings us all to this forums, to get some knowledge from the ones who already went through it).
But for an employer, it's the best investment that can be done on his/her employees. The return you get from sending someone to one of these is very good. I'd call it immediate return (just keep an open mind for the revolutionary ideas they will bring with them). And as these courses are very time-compressed, it's a great return for 5 days out. And if you pay the exam, your employee will even study harder on his own time just to get it, which is an added bonus.
I never though got to try the management courses from SANS... would like to try one ... got to convince my own boss to let me have a go at it...
Regarding the original question (and I know it's probably too late to reply to the original poster, but someone may be interested)... There are two distance learning options, one is just the slides (with slide notes) with audio (and you also get the physical manuals sent to you), but there's another where you are actually real-time following a sans class at an event.
I personally prefer the recorded one where you have the slides with audio. You can manage your rhythm as you see fit...
my 2 cents.