Well, if I had the budget to outsource mine I would most definitely go that way. However, since at the moment I don't, I do my own. I too have found very good quality stock paper at local office supply stores like Office Max and others. Some of this paper is high gloss and no edges so they come out very clean. Yes, like Yvone said they can get a little pricey, but you can do as little or as much as you need. To me that's better then having to order a "set" amount. I worked for a small non-profit office and the Director had me do her cards from Avery high gloss paper. You couldn't tell they were not from a professional printer.
I also have a good printer so they've come out very good, if I do say so myself. I've had outsiders tell me my brochure looks very professional. I actually found the design on the HP website. So, I think there's a lot of tools out there that one can use to make your printed materials look pretty darn good. Just my 2 cents
Cheers,