Shapeways or Materialise get quite expensive if you have many models to print. I 3D-printed a hardware prototype on my own recently. The cost was $5 in materials versus $40 for Shapeways.

I would still go the latter route if you have only a few prototypes to print as there is a learning curve in finding the right print temperature, time needed to sand down and refine the parts, etc.

And of course, there's nothing more exciting than, "Right here, right now."