Yes, I've given all routine vaccinations to horses, dogs and cats myself. It's not hard, fairly low risk if you know what you're doing and it is much cheaper. Omaha Vaccine and several of the other big retailers will actually send you the rabies tags along with your order. My area has a notable incidence of rabies, I wouldn't consider skipping the vaccine.
However, as everyone has previously noted, it is not accepted as proof of vaccination without being administered by a vet. Also, under pressure I suspect from vets, most catalog and online retailers no longer offer many single shot vaccines - rabies most often comes in 10 dose vial.
Here's how it breaks down for me - it you're ever going to trailer the horse off property to a competition or show, or cross a state line, get the vet to administer the shots. If you have horses that never leave your property and are in a closed herd, go ahead and administer the shots yourself.
The downside to this approach is that you don't have a relationship with the vet, the vet doesn't have the opportunity to do a baseline physical exam and you're not in the vet's account books - much harder to get a vet for an emergency if you don't use one for routine work.
The compromise that works for me is to have the vet out in the spring for their yearly exam, routine shots and to have a Coggins drawn. In the fall, I order the booster shoots and administer those myself.
I also do the rabies and other vaccines on a trio of my geriatric barn cats - it is horrible and deeply traumatic for all concerned to take them to put them in the carrier and take them to the vet clinic, much easier to open a can of tuna and stick them while they're distracted.