Hello Gapshot,
Since you seem to be seriously considering DIY, check out http://www.eastmans.com/. They have some good info and a nice magazine as well.
Research is the name of the game in DIY hunting. Pick a state, Colorado is a good place to start, call the F&G dept. and talk to Wildlife Biologists and ask them about a good place to hunt, questions about the herd size and health, hunter success ratio, whether the tag is over the counter sale or draw, average number of hunters in the unit you can expect to encounter, terrain, what USGS topo's cover the area, weather, type of camping, if you have to pack in or not. They will in turn ask you questions about your expectations.
These folks are very nice and want to answer your questions and help you out. Heck, its another out of state license and tag fee to collect!
I have heard that Idaho, Wyoming and Montana have taken a huge hit on their elk herds due to the wolves being re-introduced there. So you may want to leave them alone for now until they get their managment plans figured out. Colorado, New Mexico, Arizona, Utah all have good to execellant elk hunting. Neveda does too, but that tag is over $1200!
Lesser known states for elk, IMO, are California (hard to draw, but good elk) and South Dakota. So for starters I'd stay with CO, NM, AZ or UT. Also, last but not least, try these folks http://huntinfool.com/index.html if you need more help or don't have the time to do the footwork for yourself.
Good luck.