Dead tree edition
If you put your mind to it, you can make Word generate a decent-looking document. You don't need to try to tackle a professional program like InDesign -- put that effort into mastering Word. (Does anyone want me to try to explain character styles and paragraph styles? And why they're different things?)
To be honest, you can get away with not even offering a print edition these days. It's hard to argue with the satisfaction of holding a book with your name on it, but it may not be worth your time. Especially if you're selling short stories and novellas.
Based on my past experience: go with print on demand. Do not buy a print run, however few hundred books the minimums are down to these days. If you doubt me, come by my house and I'll show you the boxes.
Do not skimp on your ebook. This will be your bread and butter. You want your ebook to be a simple, clean layout that's easy to read. If you're writing a fantasy (like me) and therefore need maps and appendix materials, you want those to be neat and clear as well.
Maps, in particular, can be difficult. You want an image that's large enough (in resolution) to easily read and maybe enlarge in the reader for a closer look. But not so large that it bogs things down. And one rule of thumb I've learned from working with greyscale images: avoid using grey screens. They muddy up the picture very quickly. Resist the urge to mark areas of your map with a screen.
Cover art on ebook readers is an issue as well. Yes, the Kindle Fire is popular, but most readers are still black-and-white and not noted for displaying art well. Most advice I've heard is to use your color cover in the ebook, don't worry about the conversion... but I'm a perfectionist. I worry. I will have to report back on this after trying some things out.
Creating your own EPUB and MOBI files is not as difficult as you might think (I blogged about mine) -- and if you really are not up for that, you can find someone to do it for a reasonable, flat fee.
Do you really need one? If you're making a paper edition and you want to sell it, yes. When it comes to electronic books, things get hazier. Some online retailers require them (Apple and Sony) -- but not Amazon or Smashwords. If you make both a paper edition and and electronic edition, each one gets their own ISBN.
Why? An ISBN is a unique identifier. How many books titled Burning Desire do you think are out there? How many editions (print, electronic, collections, special editions, etc.) might there be? ISBNs let books be easily organized (by libraries) and sold (by retailers.)
They're expensive. $125 for one, at the official sales site (www.myidentifiers.com) -- but for $250, you can get 10. Several online publishing sites will sell you one for less because they've gone and bought a ton of them and they are selling you one of theirs. Or in the case of Smashwords, they will give you one for free. Which means that as far as the U.S. ISBN Agency is concerned, Smashwords (or whoever you bought it from) published your book. For most people, that works just fine.
I will be putting an ISBN on my print edition and my electronic edition. My RPG-publishing company bought a pack of ISBNs over ten years ago, but we didn't use them all. They don't expire, so I can still register them and list my near-defunct company as the publisher.
It's worth saying again: ISBNs do not expire. If you're in this for the long haul (which self-publishing is) and you want to offer both print and electronic editions of your work (doubling your ISBNs) and you're setting your self-publishing up as a business (for tax purposes -- way out of my league to advise on, but it's a good idea) then think about buying a pack of ISBNs for yourself. If you buy ten, the price drops to $25 each. If you buy a hundred, it drops to under six bucks apiece. And if you're one of these folks who can churn out novellas by the dozen... there's a good chance you'll need them.
I'll come back and tell you once I've been through the process. :)