I did my name change in Florida on my own. It was a matter of filling out a form (requiring a notary signature) and turning it in to the court house with a $400 (ouch!) fee and identity documents. Following that I had to do fingerprinting for a background check. Sometimes my state requires that you appear before a judge; I did not have to. They just mailed me the legal name change document. (Your state's process might be different, but this is all to give you an idea of what steps you *could* do on your own)
In my case, I was 27, single, no kids, and no major connections or history (businesses, ownership of anything, etc.), so my situation wasn't very complicated, and thus wouldn't have needed an attorney. If your situation is more complicated (marriage, business ownership, major assets, debt, etc.), then it might be useful to have an attorney to ensure that everything is solid.
The fun (sarcasm) part comes afterwards when you get to change all of your documents/credit cards/bank accounts!