Hi!
I have been programming on my free time for a couple of years now and im fluent in PHP, know some Python and programmed in Visual Basic .NET (this was the first language i learn't).
But now i want to get cracking with something else, something cross-platform and not on the internet as i find the idea of another layer of applications to run an application on the internet rather amusing.
I was thinking of either Java or C++, is this the way to go?
It really depends on what you want to achieve. If you want to add a language skill that gives you the potential to write very fast and efficient desktop applications, than C++ is the way to go. It is also interesting to be responsible for your own memory management if you haven't aleady done so, and gives you an opportunity to understand what the computer is doing at a lower level.
I have a few suggestions:
Really, learning any language you don't already know is good - mastering a language you already know a little is good too.
It is widely stated that learning lisp will make you a "better" programmer in everything else, and at the very least it will help train away any lingering hesitation you may have toward understanding recursion.
If you seek a lisp, then I would suggest Clojure as an excellent lisp for people who want a real head-first all inclusive introduction to modern programming. It has the advantage of being an up and coming language even if it may have a few too many features (transactional-Concurency, single-assignment, and Lazy-evaluation).