Change your own engine oil!
I've racked up a little over 4000 miles on my Honda S2000. The Honda dealer says I should wait till I hit 7500 miles before the first oil change so that the "break-in oil" has a chance to do its magic. Somehow I don't think I should wait that long, but we'll see. You definitely shouldn't switch to synthetic oils too early or else your piston rings won't seat and you will just lengthen the break-in process, but that's another story.

Anyways, lets get down to business. To change your own oil properly you'll need a couple things:

1. A couple quarts of motor oil (make sure you get the correct weight like 10w-30)
   
2. An oil filter that fits your car
3. Crush washers for the drain bolt
4. An oil pan, preferablely one that can hold all the oil in your engine.
   
5. An oil filter wrench, I prefer one that looks like a hoop with a handle
6. Something to lift the car up, ramps, jacks & jackstands, lifts, whatever you can afford. I recommend that you spend a little more on safety and get something that wont let the car fall on your head!
7. Chocks to stick around the wheels so your car doesn't move anywhere.
8. A Torque wrench (optional)
   
9. A wrench or adjustable wrench for the drain plug/bolt.

The basic steps are:

1. Chock your wheels and jack up your car or drive your car up your ramps and chock your wheels.
2. If you jacked up your car, position some jack stands under your car, and lower the car onto the jackstands. This is much safer. Jacks are not designed to carry a continuous load. Also be careful where you position the heads of your jacks and jackstands. The underbody only has a few jacking points that are reinforced enough to support the weight of the car.
3. Open your hood and remove the oil fill cap. This will let the oil come out easier.
4. Position the oil pan under the drain plug.
   
5. Get under the car and remove the oil drain plug/bolt. Extending the length of your wrench with a small pipe can really help remove stubborn bolts.
6. Using the oil filter wrench, remove the oil filter. Use foil to cover the areas where oil might drip when removing the oil filter. Be sure to drain the oil filter into the oil pan.
   
7. Take some new oil and lube up the rubber seal on the new oil filter.
8. Install the new oil filter as tight as you can using hand pressure. No wrenches.
   
9. Wait till the oil stops dripping out. Your patience means less crude in your engine.
10. Use a new crush washer and replace the drain plug/bolt.
11. Tighten the bolt with the torque wrench to the recommended torque.
12. Add your oil.
13. Measure with the dipstick and top off the engine.
14. Replace your oil fill cap.
15. Start engine, run briefly.
16. Wait a few minutes for the oil to settle.
17. Check dipstick again, it should be a little lower.
18. Top off the oil to the "Hi" or full mark on your dipstick.
    

Be careful not to overfill the engine with oil. If you do, the crankcase will be whipping air into the oil like an egg beater. The bubbles will prevent the oil from creating a protective film around your engine parts... BAD!!!
Remember that since the oil filter is empty, your oil level will go down when you first start your engine. The goal here is to add as much oil as you can without ever going over the full mark on your dipstick.