How do actors learn to adopt convincing accents other than their own?

I thought that Jack Nicholson got the Boston Southie accent pretty good in The Departed , and I spend enough time around Southies here to know. Leonardo DiCaprio’s did a pretty good job of sounding South African in Blood Diamond. On the other hand, Kevin Costner’s accent is less than convincing in Robin Hood: Prince of Thieves.

Do they get a coach to teach them? Or do they just immerse themselves in movies and tapes from the target area? Clearly, some actors are better at the vocal chameleon act than others.

How can an average Joe who doesn’t want to drop $10 grand on a voice coach pick up accents? And what actors and actresses really impressed or disappointed you with the job they did?