GAMESbrief has a great series of articles from different developers about the lessons they have been learnt during the self publishing process.
The first article is from James Brown (no not that one!) of Ancient Workshop:
"Marketing is the hardest thing. I don’t have the money or the contacts that a publisher has, so it’s a real battle to get seen. I’ve done what I can by way of turning that to my advantage – the Lone Developer is still a curious object, albeit increasingly common in the post- iPhone world."
You can check out the full article (and the other 11) here: http://www.gamesbrief.com/2010/05/self-publishing-lessons-learned-from-james-brown-of-ancient-workshop/