I'm doing the self-publishing thing now and have worked with a publisher before. Both ways have their benefits. It just depends what you want to do and how much work you are willing to put into it.
If you have problems finishing a book, try to find a publisher. They will give you deadlines that will motivate you to work hard. I would recommend the publisher Small Horse Press if you have a horse book. They were excellent to work with and very professional and knowlegdable. I highly recommend them for professional, stress-free publishing.
Self publishing can be very expensive and stressful, but if you can sell your books then you can also make a few bucks more than you would with a publisher and you will have total control of your book. It is a LOT more work though! Be willing to spend a LOT of time and a chunk of money to get started. Self publishing costs can vary depending on how you want your book to look, how long your book is, and its quality. You are usually looking at about $4 copy for small quanities (~200 books) once you add in shipping, etc. That does not inlcude advertising costs, which can add up QUICK.
If you want to write a novel, you can get the books much cheaper, but you have to buy around 5000 of them! Also, you cannot just sell them at Barnes and Nobles.
Shelf space at a book store is very hard to get without a publisher. A novel would likely need the help of a publisher to succeed, unless you are able to market it yourself successfully. Even Steven King has a publisher, and I'm sure he could self-publish if he wanted. You can sell on Amazon.com, but you have to jump more hoops and, I think, work with a distributer. They will also take a 55% cut. An author actually makes very little on their book, unless it sells TONS of copies.
That's just the basics. If you want stress-free, work with a publisher. If you want to sweat and are motivated, self-publishing has its benefits.