I've done it here and there for cheaper conferences. I refer to them as my nerd vacations. But they're also far more targeted and more likely to have high quality talks, not the larger "trade show" type conferences.
>>jghn+(OP)
Yep. I paid out of pocket to attend Handmade Seattle last fall and it was easily the best money I've spent - in spite of Handmade's emphases on systems and graphics programming both being pretty far outside my wheelhouse.