In Monday's comments, akashina asked what I thought of an author's opening his or her own press to publish his/her books, and how this might compare to self-publishing via large companies like Lulu. While I do think that going with a company like Lulu is the lesser of two evils, there are a number of caveats attached.
First, I strongly suggest that you not self-publish unless your book is not intended as a commercial endeavor (i.e., you don't expect anyone beyond your friends and family to read it), you're catering to an extraordinarily small niche audience (e.g. people who want to learn how to make vegan, gluten-free cupcakes using only ingredients available in North Korea), or you intend to simply disseminate it for free on the Internet (in which case, why not just save your money and make a .pdf e-book out of it?). While it's true that the traditional publishing model screens out a fair amount of good, salable material, it also screens out the most abominable garbage you've never seen. The quality of self-published material is, on average, unequivocally far inferior to the quality of traditionally published material. Almost without exception, every writer benefits from a good editor.
Second, I can't stress this enough: you should not self-publish out of frustration or the belief that your book is "too good" or "too smart" for the average agent or reader. Most people are not as good writers as they think they are. I'll reiterate: if you've done literally everything humanly possible to publish your novel in the traditional sense and haven't even gotten a nibble (no requests for the full MS, no personalized rejections, nothing), it's probably not very good. Keep working, keep learning, and write a better novel.
Third, if you are dead-set on self-publishing, I recommend you do your research and go with a company like Lulu that specializes in this sort of thing. While self-publishing via an outside party can signal to industry professionals that you're (potentially) impatient or overly confident of your abilities, it at least earns you the opportunity to have your work showcased in a somewhat professional manner (and we do hear the very occasional story of a self-published novel being picked up by an agent). Opening your own press to publish your work (and no one else's), on the other hand, will not only be perceived as the height of hubris and ignorance of how this business actually works, but will probably cost you far more money than a basic Lulu-type package (assuming you actually shell out the money to do it right). A $9.99 domain name and a bunch of .pdfs of your novels available for paid download does not a professional press make.
In short: if you don't have a very good reason for self-publishing, don't do it (at least not in print; the e-book revolution may change things in the next five or so years). If you feel you must self-publish, do it right. Printing your own material without anyone else's help—no editors, no publicists, no marketing directors, no advertising budget, no nothing, nada, zero, zilch—is not only likely a tremendous waste of your time, but your hard-earned cash, as well.