Hey,
The only lessons I took were in the 5th and 6th grades for sax, in middle and high schools I took a lot of music classes and played in show/jazz bands and orchestras. Right now I'm working with a professional tenor sax player to improve my sight reading, music theory and technique.
My senior year in high school I got a bass guitar for Christmas and taught myself by writing out the notes above the music (bass is in a different clef than the sax) and memorizing the basslines...I played bass in one of the school jazz bands, not very good but could hold my own.
Eventually I just listened to bands I liked and tried to figure out their basslines, this was probably the best thing because 1. it was music I liked playing and 2. it was a hell of a lot easier than learning jazz.
As for keyboards, I couldn't 'play' anything to save my life! A few notes here and there, maybe a chord or two. What we do is play out little melodies and harmonies with our index fingers; on more complex tracks we may use three or four fingers at a time. That's the beauty of MIDI, we can record a single melody line into the sequencer, then layer other stuff on it.
What's great about learning music properly is that whatever you learn on one instrument you can apply to another instrument, that way you only have to learn where the notes are, and you're ready to go. You'll notice that a lot of trained musicians can play lots of instruments: sax players can easily convert to flute and clarinet, trumpet players can easily convert to trombone and other horns, and drummers can easily convert to, well, other drums.
You're probably not looking to learn all these instruments, but if you get your foot in the door with the bass, you could quite easily jump to guitar and piano. There are nothing but advantages to having someone sit down with you and show you technique...
It will cost you some money, though! Lessons from professionals can go for $50-$100 an hour. I have an arrangement with the pro sax player: we get together once a week and play together for about 4 hours, and in return I show him how to use Cool Edit and sometime engineer recording sessions with him and his band. I don't know what your skills/gear are, but if you know someone who needs to be recorded, you could offer to let them use your knowledge and services in exchange for a lesson or two.
If you want to start out learning the piano, you could find some online tutorials or softwares which walk you through some of the basics.
Take care,
Nick