My Bloody Valentine complain that they weren't on the Mercury Music Prize shortlist because their self-released album isn't available on the iTunes store or Amazon. People who don't win prizes often think they're being conspired against but MBV's problem with the Mercury Music Prize is only one symptom of the problems faced by the bands who go it alone.
It's never been easier to make and release your own record without the need for a record company or a publisher. You'll keep a far greater share of what you make than you would ever have done in the past. The problem is you'll have great difficulty extending your reach beyond the people already on your mailing list. You don't need a record company to make records any more but you do need it to make you feel important, to bang the drum at radio and generally "stoke the star maker machinery behind the popular song", as Joni Mitchell put it forty years ago.
Without all the soft skills of a record company you can just disappear from public consciousness leaving barely a trace. As my old friend Brent Hansen likes to say, "it's never been easier to play; it's never been harder to win".