Self-directed learning is a proactive initiative taken by the student to direct their own learning. Independent studies, individualized learning, self-paced instruction, and many forms of online activities, etc. are all examples of self directed learning. Pro-active learners tend to retain more information because they actively seek out resources readily available to them resulting in a more meaningful and purposeful learning experience. Their opposite, passive or reactive learners wait for the instructor to tell them what they need know. Proactive self-directed learners on the other hand seek out knowledge based on the objectives, exercises, or assignments given to them.
In regards to online teaching, the self-directed approach weaves in nicely with the environment. The students are allowed to set up their own time to actively seek out new knowledge. Because of the vast amount of information available on the web, students will often run into several different viewpoints on a subject, see how something works, watch a video or interview, take virtual tours, and have access to the library all while sitting in the comfort of their own home.
We all have engaged in some form of self-directed learning at some point in our lives. Whether it be working on an engine, shopping for the best price at the mall, following a recipe, etc. You will probably agree that you have retained much of that information that you actively sought out.