I don't do my own for two reasons. First is I am under warranty until July 2006 with a very strict clause of no DIY's. Even if I didn't have the warranty, I live in a condo complex with an even stricter policy of no car repairs or mainteneance done in the lot. If you even open your hood to add washer fluid, people frown.
I take mine to Wal-Mart or Canadian Tire. They have good prices, and lots of package deals - tire rotations and oil changes together, etc.... and I can leave the car with them while I go to work. I don't understand people who go to places like Mr. Lube or Oil Changers and pay an extra $10 - $15 because they don't want to wait. Just my opinion.
When my car is off warrranty, I am thinking of buying synthetic oil and taking it to W-M to have them install it once a year. It only costs $12 to do that, and it is a heck of a lot cheaper than their synthetic packages....