I'm currently studying at an atelier (
http://georgetownatelier.com/) and my goal is to go into concept art and illustration. I chose to go there because the teacher is awesome, it's cheap, and I could commute from my parent's house so I wouldn't have to find an apartment.
Based off of my experience at the atelier so far, I think that this was a good choice for me because my teacher worked in the game industry before and he values illustration and concept art. He also is very flexible with how you use the time at the atelier, and will let students draw digitally, create imaginative work, and he will also critiques concept art if you show it to him. The thing I don't like about my atelier is that I can't do work with color yet, so all the work I do in the atelier right now is charcoal and graphite. I do colored digital pieces outside of the atelier though.
However, most ateliers are not like this (I know the Safehouse atelier used to be really good with concept art) and I know that most teachers will only let students create fine art. I do know a guy at a different atelier (
http://www.aristidesatelier.com/) that's very strict, and he takes online courses for concept art on his free time. If you decide to go to an atelier, research thoroughly and see if any of the students who have been there before have gone into concept art. Otherwise, I think going to a concept art relevant course is better.