Many people get frustrated and upset on the long road to getting a book in stores, and decide they can do better themselves. They bypass the agenting and publishing process, and find themselves a self-publishing operation. They figure if they can move a decent amount of books, somewhere in the thousands, in the first few months of selling, they can likely get the attention of an agent or a publisher, and then can have their book brought into the mainstream.
For the most part, they also think that winning the lottery is easy.
There are always exceptions to the rule, like Eragon by Christopher Paolini, for example. But, there are a number of drawbacks to self-publishing to consider.
First of all, you will likely never see your book in a bookstore. A lot of booksellers are used to things like discounts, 60 to 90-day billing cycles, and full returnability, which are not available with a self-published book. You might have to sell your books yourself, on consignment, and skip over Barnes & Noble, Books-A-Million, or Borders entirely. It might even be difficult to get through to Amazon.com as well.
Second, a lot of authors are unhappy with the promotional services and editorial assistance available through their traditional publisher. Some feel that their novel does not get the attention they expected when they signed on with their publisher. Even if all you get is a copy edit of your manuscript and a listing in a publisher's catalogue, imagine what might happen if you didn't even get that. Most self-publishing operations offer only paper, a printing press, and binding, and that's it. Anything else is an extra fee, and the quality of any marketing or editorial services is spotty at best.
Finally, and perhaps most importantly, it is very difficult to make the leap from a self-published book to a traditionally published book. It has to be an absolute gem, and the agent is going to need to see some amazing sales figures (in the several thousands) to even raise an eyebrow at the book. There is a stigma attached to self-publishing, and many agents believe that if the book was any good in the first place, the author would have signed on with an agent and a traditional publisher in the first place, and not bothered with going the backwards route.
That's not to say that self-publishers don't have their niche. For a professional, academic, or genealogical publication where a print run would be limited in the first place, it can be absolutely perfect. But if you eventually want to be a best-selling author, you're going to need all the support that a traditional publisher has at their disposal.