I've done Penn-Foster, FB, and Stratford.
Stay away from Statford; all they give you is a few photocopied chapters from Bill Philips "Master Locksmithing" book. Just buy the book.
Penn-Foster (or ICS in Canada) is fairly comprehensive and comes with a few tools and a really nasty heavy key machine at the end. It's a decent value for the price.
The FB course was the best of the three. It comes with a lot of tools, locks, and a pretty reliable key machine (I still use it for manual duplicating). They also sent a Ilco pick gun when I finished.
I'm by no means an expert compared to most of the guys on here, but I'd strongly suggest doing FB if you are going to do one course only.
Mark