In my opinion one of the greatest self-published comic series has to be Cerebus. Written and drawn by Dave Sim, Cerebus began in the late 70s and finally saw it's final issue published in 2004. The series ran for 300 issues and was 6,000 pages long. There are so many stories about Dave Sim and his journey self-publishing and working on Cerebus that I can't even begin to list them all here. Some are good, some are bad, depending on who's telling the story. He's truly worth researching and reading more about. Dave was a pioneer in the industry and inspired many other creators (Jeff Smith, Terry Moore and Martin Wagner) and still continues to inspire new creators today. He's also a BIG supporter of the Comic Book Legal Defense Fund and even donated his entire paycheck for writing Spawn #10 (which featured Cerebus) to them. On top of all this, Cerebus is truly a GREAT book to read. It's extremely deep and thought-provoking and I still go back from time to time to re-read issues.
Cerebus (c) Dave Sim