This is a great idea and can save you tons of money. I used to work at a BMW dealer and as far as I know, all dealer service operates on "Flat rate" costs.
This means that for any given job has a preset number of "hours" that it gets billed for like: front break rotor and pad change 1hr*.
Most dealers charge some where in the $100+/hr range. This means that getting your front rotors and pads replaced is going to cost you $100+ even before factoring in parts costs, which as people have mentioned are significantly more expensive at dealerships.
*this also means that mechanics have incentive to do things VERY quickly. If you get to charge 1hr's labor, but can do the job in 15 minutes and move on to the next brake job to make more money... why not? This often leads to mistakes.
You already have a vehicle, but I would advise any one in the market to get a 'common' vehicle with a large aftermarket parts production base because it can make parts a lot cheaper. In my experience volvo's, saab's, bmw, & mercedes all are rather expensive, and difficult to get parts for that are not OEM. Stick to ford, toyota, honda etc. and you will probably do okay, but do your research!
Others have said get a manual. I agree, but I would go further and say invest in as high quality set of tools and information as you can.
- Shop manual: Check to see if you can get an actual shop manual for your car. I have found Haynes, and Chiltons manuals can be lacking some times. An actual shop manual could be very expensive ($100 or more) but contain all the information that the mechanics at your dealership will have. That said I would still buy BOTH a hanyes or chiltons and a shop manual. Having two information sources can help clarify things at times.
- Electronic scanning tools: OBDII, CAN BUS, etc. Cars are largely computer controlled and very complicated. Check what system your car uses beyond the basic OBDII emissions system and, if you get a light or some thing coming on your dash, go buy the tool/scanner. Many dealers will charge a diagnostic fee just to read the codes. Autozone and other parts stores can lend you an OBDII scanner for reading emissions codes, but they do not have CAN bus scanning tools
- Hand tools: buy them as needed for a job. They are an investment. For example If you dont have a jack, and jackstands, it will cost you $75-100 to get a set, but they should last you a lifetime, and will pay for them selves in the first 1 or 2 jobs you do on your own.
- Forum for your car model: MANY popular car models have owners forums dedicated to them and can be fantastic resources for repair and maintenance information
We just replaced both front coil spring over shock suspension units for our vehicle. Autozone had a deal where they gave you a $25 gift card for every $100, so I spent $350 on both shocks, got free shipping, and $75 worth of autozone gift cards. It took my girlfriend and I a couple of hours to do, but it would have cost over $1000 at a dealer without question and we did it for less than $400 out of pocket with a net cost of $275 since we can use the gift cards to pay for oil/filters whatever in the future.
Regarding your trepidation. All I can say is be methodical and do your research. The wood working adage "measure twice, cut once" applies here... lets say .. "read 10 times, wrench once". Vehicles are machines, not magic. If you use the right fluid, in the right amount, with the right procedure ... they don't just "blow up", or fail.
Honestly I have worked on every vehicle I have ever owned, and I find that the only difference between you and a dealer mechanic is experience with the EXACT model vehicle you have. I appreciate ASE certified independent mechanics exist, but wrenching on the same cars all the time is what makes you familiar with them, and cars are complicated enough now a days that knowing how one works doesn't mean you know them all. Spend the time learning about your vehicle and the more you work on it, the more you will know. I always try to read through the entire clymer/haynes/chiltons manual to get a good "overview" before I do anything.