The process for every state is different. Some are easy, some... not so much.
I used a lawyer here in PA simply because I became frustrated in trying to figure it all out, and didn't want anything to go wrong. I actually bought a name change package online to try and do it myself, but it had something like 11 forms in it, with many questions I had no idea how to answer (legalese). Plus, there seemed to be a lot of timing issues involved, searches to run, etc. In the end I paid a lawyer a queen's ransom to have her take care of everything. I just signed a form or two she mailed me, sent them back to her, and showed up in court on the appointed day.
I've read a few stories on here about judges giving people a hard time, but I had no problems whatsoever. The clerks and judge were as friendly and kind as could be.
~Kate~