As I'm now up to 7 arrays with some not customer critical I've started doing occasional self updates on the smaller ones. Mostly because of the 4-6 week delay in getting support to do it x7 arrays gets a bit tedious.
Self install is only supported on the 7000, 8000 and 9000 arrays and personally I'd still leave MU and version change updates to support as they often have a few hidden extra steps.
So I'm only looking at Pxx patches and normally look at critical/recommended ones. There's a doc on the support site with the basic process, make sure to add the latest Update_Tools patch before to help with any new checks.
Read the release notes for each, some may not apply to your setup and be careful about drive firmware updates as these sometimes get withdrawn. I'd wait a few weeks after a release in case of bugs appearing and probably not do production/critical arrays first.
The Infosight pages now help to highlight which patches are critical on which arrays rather then having to try to keep track of them all by hand and there's also a new summary doc on the SPOCK pages with lists of all patches for each OS version.