Just read a great article in Forbes, 8/15/12 online - Publishing Is Broken, We're Drowning In Indie Books - And That's A Good Thing by David Vinjamuri. He is so right. Highly paid, highly successful authors say, "A self-published author is not REALLY published."
I heard a very well known Christian author make that exact statement. The truth of the matter is, you could write a book equal to Gone With The Wind, but if a publisher is not looking for a book about the Civil War, it will not get published.
There is absolutely nothing wrong with believing in yourself. That is a reflection of wholeness, of solid mental health - not a sign of arrogance. Self-publishing is another way of expressing yourself. Have fun - create a book!