I've been to the pull-a-part in Birmingham, Al and yes you do have to bring your own tools and do all the removal yourself. It costs exactly one dollar just to get in to the junk yard but the parts themselves are uber cheap. They even give you the option of getting warranties for the parts for a little extra, just in case they don't work or don't fit or something. Go to www.pullapart.com to check for part pricing, availability of that specific car, (they can't tell you whether or not the part is there though) and different locations across the country.
Its not ALWAYS the most reliable method of "fixing up" your car, but if you know what you're doing it works and its cheap.