I had the wonderful opportunity of attending a 2-day class for Captivate 4 at SkillQ which is located in Gulf Breeze, Florida.  They are listed on Adobe's site as a certified source for training.  Their class size is no more than 8 people so you get all the attention you need.  The classes are informal, the equipment is first rate, the instruction is tailored. 

Check out their site http://www.skillq.com/index.html you won't be disappointed!