What kind of rig do you have? If its on an old car or just your beater commuter, I would do it yourself. Head up to Gemeroy's Auto Paint Specialty in Burien and pick up some sealant and a removal tool. Then go down to harbor freight tools in kent and pick up a couple of their suction cups. Don't forget to buy a new gasket. The dealership is your best bet for that. Avoid cheap offshore body parts like the plauge, especially anything that is supposed to keep water out.
Im sure with a quick search of the net, you'd be able to find some how to guides to help get it done easier.
Rory, call around. I had mine done by Safelite and it was pretty cheap.
Here's what happened with me:
Windshield broke and I called the insurance company. I have a $250 deductible. Got an estimate and the cost was going to be $290 or so. Basically, I would pay $250 and insurance would pay $40. I asked if the cost would be the same if I paid for without insurance. They said, "yeah, it may be less" I then called and got and estimate from a few places. I think I ended up paying $175 cash instead of having it go through insurance.
If you are evil you can get a quote then subtract a bit off and call the next guy... They always seem to start pretty high but very few will pass on eating someone else's dinner, even if it turns out to be table scraps.