I think it depends on your goal. To me, as a fiction writer, being published by an established publishing company is a bit of an ego boost. I feel validated knowing that a professional thought my work was good enough. It's also probably going to be distributed more widely and advertised better than I could manage on my own (though I suppose that's different when your readership is already huge, established authors can self publish and actually make money, or give books away as a way of giving back to their fans). As a reader I know I can trust publishers to put out a consistant standard of work, whereas self published work is sometimes terrific and sometimes riddled with spelling, grammar and layout mistakes.
On the other hand, self publishing gets your stuff out there, to your readers faster, and can be a great way to reach a niche market. If you're putting out something like a family history or a rule book for a game you've invented it makes sense self publish a small run of books or use a print on demand service like Lulu.com rather than print tonnes of copies when you know only a handful are likely to sell.