There are a lot of myths about being a writer: Fame, fortune, tweed coats with leather patches, million dollar advances, movie deals, publisher-sponsored book tours and so forth. Not that there aren't a few instances of these things actually being true, but for their rarity they might as well be right up there with unicorns and trolls under bridges.
For the most part these fables only turn a smile into a frown for the newly published writer, but with book tours and publicity the affect can be much more traumatic: the writer who depends only on their publisher for publicity is quickly going to find their book remaindered, their work quickly forgotten.
Certainly some publishers are very good about heralding their books - like Alyson Books, who I've worked with several times - but that still doesn't mean they're going to do all the work. It all comes down to numbers: even a great publisher has a LOT of books to sell; they simply don't have time or resources to publicize each and every one. Most of the time you're lucky that the publisher sends out a dozen or so review copies or galleys - let alone does the legwork and makes the calls to drum up interest. Getting your book published, in other words, is just part of the battle: you have to do even more work to get your work noticed.
There is a fine line in publicity, one that's way too easy to cross: one side is humility and invisibility, on the other is hyperbole and arrogance. The trick, obviously, is to try and put you and your work somewhere between the two. I wish I could say I'm good at this, but to be honest I have the same problem other writers have in regards to publicity: you don't know you've become one or the other until it's almost too late.
Publicity usually takes several forms, but what I usually do just a few - mainly because I have a full-time job and my time is limited: press releases, readings, and interviews. Press releases are simple in concept, but take some skill in creating effectively: they should be short, a page to a page in a half, be attractive to various media outlets (magazines, radio, Web sites, etc.), and give all the info they need to write up something about your book. For interviews, you can create your own - which works quite often - or ask a friend or regular interviewer to do one and send it out with your press stuff. Readings are tougher, as it usually requires quite a bit of time (research, phone calls, sending our press stuff) and the rewards are scant, but it can get your name out there - especially to bookstores that, after all, buy your books.
Speaking of books, many publishers give free copies of your book, but only so many. I always buy 30-40 copies of whatever I do and then spend about $4 each sending them off with press releases and interviews to all kinds of friends, reviews, magazines and Web sites. Yes, it is unfair that you have to buy your own books - though most publishers give you as much as a 50% discount, which is nice - but that's the facts of life. Besides, if a copy you buy gets enough publicity to sell more books then it's more than worth it.
A Web site listing your accomplishments, contact info, and reviews is also a very good idea. Try and keep it professional, lean, and easy to access (no flash or java). Don't date it unless you plan on updating it regularly (unlike me), and don't put anything up there you wouldn't want your parents to see - erotica can make a lot of media nervous and you don't want to scare them off.
As for what to say and how to avoid sounding like a self-important jerk easy, take a good look at what you've accomplished and try and present it realistically, though attractive enough for a reviewer to pick up. Try and get some nice juicy blurbs from other writers, especially those who you recognize and respect (or who sell books). In your press release, mention and quote any reviews you may have gotten (though be careful of getting permission - some don't care, others are very prickly about such things). Avoid hyperbole in describing yourself or your accomplishments - this might work in getting your name out there, but can cause problems when other writers, editors and publishers get annoyed at you calling yourself "the greatest living American writer," or some such - though if a lot of other, neutral folks have called you that then go for it. Also, try and keep your announcements down to a dull roar - or set up an email list so people at least know that it's a regular thing and not just an "I'm fantastic" email that comes in your mailing every few months, unsolicited.
Another cold hard fact about publicity is that it usually only works for books - short stories in anthology, magazines, and Web sites simply aren't impressive enough to warrant a press release. The best you can do for shorts in magazines, Web site and anthologies is volunteer yourself for readings and offer possible reviewers or interviewers for the editor.
Doing publicity always reminds me of the joke where a man is constantly entreating God to let him win the lottery. Finally, fed up, God responds: "Meet me half-way: buy a ticket." In others words, the reality of writing is that success comes to those who try, try again, try some more, and - more than anything - keep trying. The work of making your book a success doesn't stop when you finish writing it - in fact, that's often just half the battle. The rewards, luckily, are more than worth it - especially when you get your first good reviews or people actually start to know your name.