Karteek,
There are a couple of points to consider...
Training in a classroom provides the opportunity to get hands-on skill and practice while interacting with others. Most classroom training will have group exercises, like role-play, which allows people to bounce ideas off of each other and network. It can also be helpful to hear about problems and successes that others have had in their own job roles. Another advantage, and the one most often cited among classroom trainees, is that classroom training gets you out of office and away from distractions, like emails or phone calls, so you can concentrate fully on your studies.
If your budget is tight on time and/or money, making it difficult to be away from the office, online training is a good alternative to classroom-based training, because you can often complete the course from your home or work. Many times, however, students find they are interrupted by colleagues, get pulled into meetings, feel the urge to respond to emails, etc. If you cannot "turn-off" the outside world, going to a classroom may be a better way to go.
With a good training company, however, the course content should be of equal quality regardless of which method you pick.
-Alison