I print them myself and take them to FedEx to do the binding. Letter size/A4, though, result in big books and a lot of paper. So I wrote a script that produces a new PDF and reorders the pages. In the new PDF, you have two pages per side of paper (4 pages per sheet). The reordering is done so that FedEx can cut the sheet right in the middle, and put the left half on top of the right half to get the usual ordering. Then they just bind it.
Not counting the cost of my paper, they charge about $11 (probably can get it a bit cheaper but I add some extras in the service when I bind them).
I used lulu.com to print a copy of OnLisp [1]
What I got was one of the best bound paperback books I've ever held.
<rant> I wish all publishers would just sell eBooks (and publish settings like "optimal paper size") so that I could print my own copy using a service like lulu. One of my biggest gripes with hardcopy books nowadays is that the paper stock they use is so thin that the ink on the other side of the page shows through. Lulu let's you choose the paper stock. I really can't say enough about how happy I was with the quality of the printed book lulu sent me. </rant>