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I haven't, but have gone through a good portion of the self study materials that come when you sign up for the OSCP class. The materials are quite good, and the labs are far from easy. I'm in the same situation where I'd be paying out of my own pocket, and at this point I don't do security as part of my formal job. That said, since the person that never finished the OSCP class isn't at my employer at this point I may see if I can transfer it over to me if/when I find time.
Last year at defcon they started doing training sessions which are less expensive than the Blackhat training but probably just as good. It might be something to look into.
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