Ever since the "shut down" of tr.im I've been using URL shortening on my own domain. Even though they've come back online, I think it serves as a reminder you really can't trust these third-party URL shorteners. I'll admit bit.ly seems to be build on a pretty solid foundation though.

Personally I've used the method Justin Tadlock mentioned above (example.com/?p=xxx) as well as a plugin called Twitter Friendly Links. Even the free version of Pretty Link seems to have more features though.

I'd like to know why Matt thinks this plugin a "rip-off." I think people looking for more fine-tuned control over things like SEO and tracking with their personal URL shortener will find value in the Pretty Link plugin. Good job with it Blair.