I guess my mind is so engaged in IIS and web applications that I can't think of a reason to go through the trouble of using a self-hosted WCF service. I have always had the availability of IIS so creating a self-hosted WCF service seems like more work than I would want to do. Why would I want to do this?
If you are running 64-bit Windows, you cannot compile and run a WCF Service automatically, you have to self host.
I asked about one particular situation here: Ways to access a 32bit DLL from a 64bit exe
I had a 64-bit application that required the use of a 32-bit DLL. So I thought I would just wrap the 32-bit DLL in a 32-bit WCF Service. No go. I couldn't force the service to run 32-bit. Had to self host.