We recently bought a new self-cleaning oven, and we waited a few months before trying out that feature. When they say extreme temperatures, they mean it. This wasn't like setting the oven to the highest temperature setting for cooking a pizza or something. This was enough heat to warm the entire house on a winter's day. I had no idea a home oven could even get that hot and survive.
The oven was probably not as dirty as it could have been, so the smoke situation was at least bearable. I wouldn't recommend doing it at all if your kitchen's ventilation is not spectacular. We had a screen door to the outside only a few feet away from the oven, and we could close off the kitchen with a swinging door. Even with that, the rest of the house definitely got smoky. I'd recommend using a box fan or two to draw the smoke away from the oven while it's in self-cleaning mode.
The other consideration we discovered is time. Once the oven is locked down and heated up, the self-cleaning cycle can last for hours. Be sure you have that much time to spend, since leaving the oven unattended may not be such a good idea. The oven door will not unlock until the oven has cooled down almost completely. I will say that the end result is an easily wipeable pile of ash instead of a greasy combination of burnt food and caustic oven cleaner. If you can survive the hours of smoke and heat, I'd say the self-cleaning option is worthwhile if your oven is not excessively dirty in the first place.