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.
Neurofeedback changes your brain waves and (as I'm sure you would agree) not all changes are improvements. A change that might make one person more focused could cause another to become highly anxious.
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: