I have thought of doing it myself but my yard (front, back and sides) is quite large (1/3 acre) and we do get winter here in central Indy (minimum depth for piping is 10" or more), just too much digging. I have called and gotten estimates, ranging from $3800 to $4500, not exactly too bad but if self installed, I calculated it to be around $1800.
During my research I have found this site extremely informative:
http://www.irrigationtutorials.com/
If you have a smaller yard and / or don't need to dig deep, this looks like a good alternative, although can be pricey:
http://www.lawnbeltusa.com/
Before you start digging, call your utility companies to come and mark the gas, water lines, etc.