A lot depends on the number of books that you want printed. By far the cheapest is Print On Demand (POD). Often you'll be able to find someone with a printer/binder nearby that can handle the job--look in your local yellow pages. One advantage is that you won't have to pay freight charges if it's done local.
There is a point when it is more cost effective to use a vanity press. My POD person suggest the breaking point is around 600 books. Often you'll find the cheapest prices overseas. If you're in the U.S. you'll find a few of them in Costa Rica.
Be wary of the online POD companies. They charge an upfront fee plus the printing charge. They'll also hook you for an ISBN, which you may or not need depending if you plan to sell through a bookstore.
The best price for POD is to do the layout work yourself in PageMaker or InDesign. Be sure to ask if the printer has a preference for a specific program. They may also be able to provide you with specifics as to the page layout.
The biggest payoff with POD is that you only need to print the books that you need. My POD printer requires a minimum $100 US order, which typically translates into just under 30 finished books. I've known guys who have gone the vanity press route, spent thousands, and now have a garage full of books. Even if you plan to go the vanity press route you might want to take a small POD run and use them like galleys with business associates to get feedback.
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