I've thought about Amazon, but some of the clauses in their contract made me uneasy.
As for self-publishing in general, I had the opportunity to speak with Aprilynne Pike (NYT bestselling author of the Wings series) at length at a community event last December, and she advised me to not be too hasty in going into self-publishing. She told me many agents and publishers are very unwilling in representing/publishing self-published works because they cannot verify copyright information, and that representing/publishing those said works often lead to contract disputes. Where Amazon is quite popular, the big name publishers have more contacts that can give a manuscript more opportunities/popularity. Publishers take care of copyright infringers for you, whereas with Amazon, you have to do the policing yourself. Nevertheless, if all else fails, I will go into Amazon or BookCountry or something of that ilk.
PS-As it so happens, Aprilynne Pike got her agent through a client referral. Who was that client referral, you may ask? Stephanie Meyer.