Some of the most common infestations like cockroaches and rats are actually pretty easy to deal with. Depending on the magnitude of the infestation will dictate what tools you will need to defeat it. There are sites like http://www.doityourselfpestcontrol.org that have a pretty good selection of traps and low level poisons that are very easy to use. Most of the time its just a matter of reading the products instructions and you will be on your way. Another thing home owners don’t often apply is common sense. If you leave a hole on the side of your house wide open you should expect rodents to come in and make their home. Just because you don’t see them does not mean they aren’t there. Most pests work at night while you sleep. The only time they are seeing in the day time is when an infestation has progressed beyond the do it yourself level. This is when its recommended to seek the advice of professional exterminators.
Glue traps are by far the most popular way to try and eradicate an infestation. There are also other options like live traps that catch your rodent for later release instead of killing.
Baiting along with a aerosol spray is a good plan of attack. Roaches need to be flushed out and killed. Once you have done a flush you can leave residual baiting for any remnants. Another really important thing is to make sure you don’t leave food sources out or else baiting will be useless.