It's the most straightforward way to become a student. You arrange everything while you're still in your country. However, you will have to find a school when you are still in your country. It could be a difficult decision, since you can't visit the schools you consider applying to. You will have to prove to American embassy that you have strong ties to your country.
Embassies can be stricter to prospective students than to tourists.
INS in America is more liberal. Enter the US on a different visa and change your status Changing your status from tourist to student is usually easy. If you're on a budget, this is probably the way to go. Note that you'll have to wait at least 2 months before you apply for a change of status. Whether you apply for a student visa from your country or apply for a change of status in the US, you will have to find a school that would issue you an I-20 first.