If you've been considering it, but dismissed it because of some skeptical comments online (including mine!), I urge you to reconsider. Whether or not it sells, whether or not you establish a huge fan base, you will have the enormous satisfaction of holding your book in your hands and knowing it's available to the world. Forever, incidentally, as there will never be print over-runs, and it will never be stacked on a bookstore bargain table. In fact, your book will never be out of print, even when you are.
I've taken the liberty of adding a link to a really good article by Hugh Howey at Salon, about going it alone. This inspired me, and I hope it will have the same effect on you.
It took five proofings to get to this point. Each time you make changes, you must get another copy of the printed book to finally approve it. And that's it. The only cost to me (I even designed my own cover) were those proof copies...under $100 in total. If I had been more careful, no doubt I could have managed with just two copies, but I was so enthusiastic, so excited to be at the final gate, that I missed tiny things. "Patsy" became "Patty" on one page, for instance (and people said no one would have noticed), and there was an odd line break on page two. These could have been picked up much earlier if I had just relaxed and read through page by page, just one more time.
I won't discuss what goes into self-publishing. You must learn this yourself as you go along. But it's not difficult, just extremely exacting. As writers, and - we hope - good proof readers, we can cope with that.
But one thing...the beautifully formatted, perfectly proofread manuscript you've been submitting to agents is not the one you'll present for self-publication. You copy it, and then re-format it entirely. Once you've got the hang of the necessary book printer's format, you'll be fine.
However, if you then want to e-publish, that's a whole new formatting project. I nearly tore my hair out over that one, but I got there in the end,
You can do it. Honestly. Be brave.
By all means ask questions of me. I'm happy to share what little knowledge I have, or at least point you in the right direction.