Self-Service or Self Service.
For example, Self-Service restaurants, Self-Service Websites, etc..
Another example, multi-platform, multi-factor, etc..
Is the hyphen a must?
As a compound adjective, yes, the hyphen is a must to avoid confusion in instances such as this admittedly rather contrived newspaper-type heading example:
Help your self service restaurants survive.
Help your self! Service restaurants! Survive!
Help your self-service restaurants survive.
Help your self. Service restaurants survive.
Hyphenate only as a compound modifier: I asked her to provide self service. It is a self-service gas station.
Self-Service is best used with a hyphen usually because it is a compound word " adjective+noun". You should give this link a glance, it explains where you have to use hyphens. Now a days not many care about using hyphens where they have to be used. Worse, people try to use hyphens and apostrophe (') and go terribly wrong (always makes for a good laugh though), I feel these are the two punctuation marks often used wrong.
Nandagopal I don't know why you speak with such authority on this subject as it's sadly misplaced. Self is a prefix and ALWAYS has to be hyphenated. There is no independent word 'self' in English (except as a noun in areas such as psychology). Self-service is the only correct form in standard English. The same applies to other much abused prefixes such as 'non' and 'multi' in that they have to be prefixed to the words they relate to (with a hyphen or directly attached). They cannot stand alone as they are not actual words.