If you have the time and money it's a great way for most people (although about 25% of people don't respond to the treatment) to increase their human capital and mitigate conditions such as depression and ADHD. You need to find a local provider and it would be dangerous to buy the equipment yourself and do it on your own.
It might not work to do it on your own (EEGs are hard to hook up to yourself), but it's not physically dangerous to do your own EEG neurofeedback. There are several companies selling consumer level EEG headsets.
I have often benefited from recommendations for Things I Didn't Know I Wanted.
Given that Less Wrong is a community of unusually intelligent, critical, and self-improvement-focused people, I suspect we can generate a pretty helpful thread of product recommendations — perhaps even a monthly thread of product recommendations.
Rules: