I have had great luck with self-hatched eggs. Of the ones that made it out of the shell (granted, I've only hatched 32 so far) none of them have died. And I even helped a few out of the shell, and they're still alive too (although some of them are only a week old still... knock on wood.)
With shipped chicks, it was another story... I had a couple die out of one batch of 30 chicks. Same food, water, treatment -- I think the shipping is just hard on them. So in my experience, self-hatched chicks have a great rate of survival! (Once they make it out of the shell that is!)
ETA: I also had another batch of shipped chicks with 100% survival rate. You just can't control how much they get banged around by the PO, so it really depends.