Our hospital offered a one-day 'blast' course, where my husband and I spent a few hours learning about positions, breathing, massage techniques, etc. The instructor also spent far too long pushing her own agenda about what kind of birth she thought we should have, but that's another story. I'd been doing yoga for seven years before I had the baby, so the breathing relaxation stuff wasn't new to me.
The only thing I found useful from the class during active labor was the 'hoo hee-hee-hee' breathing thing and the advice about counting my way through the contractions as a focus technique. (keeping my eyes open long enough to focus on anything, like another poster mentioned, would have been impossible). By the way, I had an epidural once I got into intense, active labor (that was the plan), and I still found the breathing/relaxation techniques useful. The two definitely aren't mutually exclusive.
Nutshell version: A class or DVD or book can certainly be helpful, but it's not essential. And unless you hire someone to do so, no one in the room is going to force you to use any particular method.